COLOTRUST Second Quarter Report — June 30, 2008
(Unaudited)
COLOTRUST Asset Allocation as of June 30, 2008
PRIME
Bank Deposits 9%
PLUS+
Corporate Securities 10% Commercial Paper 42% Bank Deposits 30%
U.S. Instrumentalities 63%
Repurchase Agreements 28%
U.S. Instrumentalities 12%
Repurchase Agreements 6%
GENERAL FUND INFORMATION PRIME PLUS+ Net Asset Value per Share $1.00 $1.00 Total Net Assets (Millions) $470 $4,069 Average Daily Yield for Month 2.24% 2.42% Average Annualized Yield 2.26% 2.45% Expense Ratio 0.161% 0.161% Fund Inception Date 1985 1994 Investment Manager: MBIA - Colorado Investor Services Corporation RATINGS S&P Fitch Moody’s PRIME AAAm PLUS+ AAAm AAA/V1+ Aaa
MONThLy WEIGhTED AvERAGE MATURITy
60
50 40 30 20 10 0 PRIME PLUS+
Days
Jun-07
Jul-07
Aug-07
Sep-07
Oct-07
Nov-07
Dec-07
jan-08
Feb-08
Mar-08
Apr-08
May-08
The Portfolio's weighted average maturity (WAM) is kept under 60 days, which further helps to enhance liquidity and limits market price exposure. "The portfolio's WAM is a key determinant of the tolerance of a fund's investments to rising interest rates. In general, the longer the WAM, the more susceptible the fund is to rising interest rates." —STANDARD & POOR'S Fund Ratings Criteria pg.21 1st paragraph.
1700 Broadway, Suite 2050 • Denver, CO 80290 • 877-311-0219 • www.colotrust.com
Jun-08
COLOTRUST Second Quarter Report — June 30, 2008 Colorado Local Government Liquid Asset Trust
STATEMENT OF NET ASSETS – June 30, 2008
Investments, at value COLOTRUST PRIME Coupon Rate Maturity Effective yield Market value
(Unaudited)
COLOTRUST PLUS+ Market value
Principal Amount
Repurchase Agreements (28%, 6%, respectively)* BMO Captial Markets Corp. (7%, 0%, respectively)* $ 35,000,000
(Collateralized by U.S. Government Agency Securities and U.S. Treasury Obligations with a coupon rate of 5.700%, and maturing on 03/27/23.) Market Value: $36,197,074.
2.45%
07/01/08
2.45%
$ 35,000,000
$
-
UBS Financial Services (21%, 0%, respectively)*
(Collateralized by U.S. Government Agency Securities with coupon rates of 0.00%, and maturing between 04/01/35 and 09/01/36.) Market Value: $99,505,191.
97,550,952
2.55
07/01/08
2.55
97,550,952
-
UBS Financial Services (0%, 6%, respectively)*
(Collateralized by U.S. Government Agency Securities with coupon rates of 0.00%, and maturing between 04/01/35 and 11/01/40.) Market Value: $243,359,342.
238,583,674
2.55
07/01/08
2.55
-
238,583,674
(Cost of $132,550,952 and $238,583,674, respectively)
132,550,952
238,583,674
U.S. Government Agency Securities (63%, 12%, respectively)* Freddie Mac Notes (11%, 3%, respectively)*
20,000,000 20,000,000 15,000,000 25,000,000 15,000,000 Federal Home Loan Bank Notes (28%, 9%, respectively)* 25,000,000 50,000,000 20,000,000 30,000,000 30,000,000 45,000,000 40,000,000 30,000,000 50,000,000 50,000,000 40,000,000 30,000,000 10,000,000 30,000,000 15,000,000 Federal Farm Credit Bank (4%, 0%, respectively)* 20,000,000
(Cost of $294,617,667 and $491,930,158, respectively)
Fannie Mae Notes (20%, 0%, respectively)*
30,000,000 10,000,000 21,935,000 40,000,000 10,000,000 40,000,000 25,000,000
Disc. ** 2.30 2.40 2.55 2.55 3.13 2.70 3.25 Disc. ** Disc. ** Disc. ** 4.50 2.09 - Var. 2.09 - Var. 2.45 - Var. 2.45 - Var. 2.19 - Var. 2.19 - Var. 2.74 - Var. 2.20 - Var. 2.20 - Var. 2.25 - Var. 2.45 2.45 2.63 2.27 - Var. 2.27 - Var. 2.71 - Var.
08/11/08 03/24/09 04/02/09 05/13/09 05/13/09 06/23/09 06/23/09 08/15/08 08/27/08 09/24/08 10/08/08 10/15/08 11/20/08 11/20/08 12/01/08 12/01/08 12/10/08 12/10/08 01/29/09 03/20/09 03/20/09 03/27/09 04/21/09 04/21/09 04/30/09 06/04/09 06/04/09 01/02/09
2.13 2.30 2.41 2.55 2.55 3.13 2.70 4.29 2.24 2.15 2.14 4.44 2.57 2.57 2.45 2.45 2.67 2.67 2.76 2.68 2.68 2.25 2.45 2.45 2.63 2.27 2.27 2.71
29,923,800 9,961,460 9,970,560 20,015,800 19,929,380 14,917,125 24,833,625 15,087,210 24,977,450 19,989,820 29,981,880 29,971,470 9,979,210 14,993,385 19,991,960 294,524,135
21,863,053 39,882,240 40,030,840 24,942,475 49,954,900 29,984,730 44,972,820 39,998,400 49,952,450 49,969,200 39,867,640 29,900,730 29,986,770 491,306,248
* Denotes Percentage of Net Assets ** Denotes securities purchased at a discount from par. 1700 Broadway, Suite 2050 • Denver, CO 80290 • 877-311-0219 • www.colotrust.com
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COLOTRUST Second Quarter Report — June 30, 2008
(Unaudited)
COLOTRUST PRIME Investments, at value (cont.)
Corporate Securities (0%, 10%, respectively)*
Merrill Lynch & CO UBS AG Stamford CT AIG SunAmerica Global Finance XXIII AIG SunAmerica Global Finance XXIII Nationwide Life Global Funding Toyota Motor Credit Corp. Toyota Motor Credit Corp. UBS AG Stamford CT Toyota Motor Credit Corp. General Electric Capital Corp. Massmutual Global Funding Toyota Motor Credit Corp. (Cost of $0 and $414,354,971, respectively)
COLOTRUST PLUS+ Market value
Principal Amount
Coupon Rate
Maturity
Effective yield
Market value
$45,000,000 50,000,000 15,000,000 19,455,000 25,000,000 30,000,000 25,000,000 50,000,000 40,000,000 25,000,000 40,000,000 50,000,000
2.47% - Var. 2.46 - Var. 3.90 3.90 2.84 - Var. 2.63 - Var. 2.53 - Var. 2.67 - Var. 2.19 - Var. 2.65 - Var. 3.06 - Var. 2.54 - Var.
08/22/08 09/16/08 10/22/08 10/22/08 12/15/08 01/05/09 01/12/09 01/15/09 01/30/09 03/16/09 03/19/09 06/29/09
2.47% 2.77 4.48 4.48 2.99 2.64 2.52 2.67 2.19 2.62 3.06 2.54
$
-
$ 44,844,885 49,907,700 14,949,090 19,388,970 24,999,150 29,962,950 24,997,425 49,668,000 39,988,480 24,934,350 39,933,560 49,975,650 413,550,210
Commercial Paper (0%, 42%, respectively)*
Sheffield Receivables Sheffield Receivables General Electric Capital Corp. ABN-Amro NA Finance Inc. Fairway Finance ING (US) Funding LLC Societe Generale North America Alpine Securitization Corp. Sheffield Receivables Bank of America Corp. Alpine Securitization Corp. Ranger Funding CO LLC Bank of America Corp. Yorktown Capital LLC ING (US) Funding LLC Yorktown Capital LLC ABN-Amro NA Finance Inc. CIESCO LLC CIESCO LLC Kitty Hawk Funding Corp. Citigroup Funding Inc. ING (US) Funding LLC Kitty Hawk Funding Corp. Societe Generale North America General Electric Capital Corp. Prudential Funding Corp. Citigroup Funding Inc. JP Morgan Chase & Co. Yorktown Capital LLC Kitty Hawk Funding Corp. Ranger Funding CO LLC
50,000,000 45,000,000 50,000,000 50,000,000 50,000,000 50,000,000 40,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 37,322,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000 50,000,000
Disc. ** Disc. ** Disc. ** Disc. ** Disc. ** Disc. ** Disc. ** Disc. ** Disc. ** Disc. ** Disc. ** Disc. ** Disc. ** Disc. ** Disc. ** Disc. ** Disc. ** Disc. ** Disc. ** Disc. ** Disc. ** Disc. ** Disc. ** Disc. ** Disc. ** Disc. ** Disc. ** Disc. ** Disc. ** Disc. ** Disc. **
07/02/08 07/08/08 07/09/08 07/10/08 07/10/08 07/10/08 07/15/08 07/16/08 07/18/08 07/21/08 07/24/08 07/24/08 07/31/08 08/04/08 08/07/08 08/08/08 08/11/08 08/11/08 08/15/08 08/18/08 08/19/08 08/21/08 08/22/08 08/25/08 08/27/08 08/28/08 09/02/08 09/04/08 09/11/08 09/16/08 09/17/08
2.97 2.58 3.89 2.67 2.64 2.63 3.72 2.53 2.62 2.69 2.55 2.61 2.65 2.53 2.65 2.87 2.72 2.60 2.58 2.63 2.71 2.89 2.64 2.59 2.92 2.41 2.68 2.52 2.70 2.82 2.77
-
49,991,650 44,969,985 49,972,350 49,965,100 49,958,350 49,965,100 39,958,000 49,933,600 49,925,900 49,925,650 49,902,450 49,902,750 49,896,000 49,858,900 49,864,300 37,204,846 49,849,400 49,831,200 49,814,900 49,800,800 49,818,750 49,810,900 49,800,000 49,795,150 49,811,350 49,802,500 49,762,400 49,753,950 49,696,850 49,675,000 49,671,950
* Denotes Percentage of Net Assets ** Denotes securities purchased at a discount from par. 1700 Broadway, Suite 2050 • Denver, CO 80290 • 877-311-0219 • www.colotrust.com
3
COLOTRUST Second Quarter Report — June 30, 2008
(Unaudited)
COLOTRUST PRIME Investments, at value (cont.)
Ranger Funding CO LLC General Electric Capital Corp. Prudential Funding Corp. Societe Generale North America (Cost of $0 and $1,691,789,187, respectively)
COLOTRUST PLUS+ Market value
Principal Amount
$50,000,000 50,000,000 25,000,000 50,000,000
Coupon Rate
Disc. ** Disc. ** Disc. ** Disc. **
Maturity
09/19/08 09/22/08 10/10/08 11/18/08
Effective yield
2.70% 2.48 2.53 2.98 $
Market value
427,075,087
$ 49,663,650 49,709,950 24,796,275 49,416,500 1,691,476,406 2,834,916,538
Total Investments in Securities (Cost of $427,168,619 and $2,836,657,990, respectively) Deposit Balances in Custodian Banks (9%, 30%, respectively)* Wells Fargo Bank, N.A. (9%, 11%, respectively)* JPMorgan Chase Bank, N.A. (0%, 7%, respectively)* Key Bank (0%, 12%, respectively)* Other Assets
2.35 2.46 2.47
2.35 2.46 2.47
41,670,099 41,670,099
462,925,681 275,000,000 490,000,000 1,227,925,681 6,515,878 4,069,358,097 514,321 $4,068,843,776 $4,070,585,230 (1,741,454) $4,068,843,776 4,070,585,230 $1.00
Accrued Interest Receivable Total Assets
961,422 469,706,608 60,618 $ 469,645,990 $ 469,739,522 (93,532) $ 469,645,990 469,739,522 $1.00
Less Liabilities
Administration and Investment Advisory Fees Net Assets
Components of Capital Capital (Par Value) Unrealized Appreciation (Depreciation) on Investments Net Assets Outstanding Participant Shares Net Asset Value per Share
STATEMENTS OF OPERATIONS (Six Months Ended June 30, 2008)
COLOTRUST PRIME
Investment Income Expenses: Administration and Investment Advisory Fees Net Investment Income $ 7,002,965 380,064 6,622,901 (412,636) $ 6,210,265
COLOTRUST PLUS+
$ 55,156,355 2,794,391 52,361,964 (1,265,359) $ 51,096,605
Change in Net Unrealized Appreciation (Depreciation) on Investments Net Increase (Decrease) in Net Assets Resulting from Operations
* Denotes Percentage of Net Assets ** Denotes securities purchased at a discount from par. 1700 Broadway, Suite 2050 • Denver, CO 80290 • 877-311-0219 • www.colotrust.com
4
COLOTRUST Second Quarter Report — June 30, 2008
(Unaudited)
STATEMENTS OF ChANGES IN NET ASSETS (Six Months Ended June 30, 2008 and year Ended December 31, 2007)
COLOTRUST PRIME 2008 2007
From Investment Activities: Net Investment Income Net Change in Unrealized Appreciation (Depreciation) on Investments Net Increase in Net Assets Resulting from Operations Distributions to Participants From Net Investment Income Net Increase (Decrease) in Net Assets from Share Transactions Net Increase (Decrease) in Net Assets Net Assets: Beginning of Period End of Period $ 6,622,901 (412,636) 6,210,265 (6,622,901) (38,885,410) (39,298,046) $ 23,370,177 347,811 23,717,988 (23,370,177) 51,042,366 51,390,177 457,554,287 $ 508,944,464 $
COLOTRUST PLUS+ 2008 2007
52,361,964 (1,265,359) 51,096,605 (52,361,964) 1,163,577,043 1,162,311,684 $ 167,619,896 (349,939) 167,269,957 (167,619,896) 270,381,382 270,031,443 2,636,500,650 $2,906,532,093
508,944,464 $ 469,646,418
2,906,532,093 $4,068,843,777
Board of Trustees
Lynne Beck Town of Telluride Steve Dazzio City of Englewood Al Dominguez Colorado District Attorney’s Council Glenn E. Gustafson Colorado Springs School District No. 11 Wilson Hatcher Academy School District #20 Bert Huszcza Colorado Association of School Business Officials Michelle Miller Park County Treasurer Sandy L. Rotella Adams County School District 50 Jim Ruthven Reserve Metropolitan #1 Karen Sheaffer Eagle County Treasurer Steven Shipley South Suburban Parks and Recreation District Scott Wright Town of Avon
1700 Broadway, Suite 2050 • Denver, CO 80290 • 877-311-0219 • www.colotrust.com
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