FC
99/6 |
Ninety-ninth Session |
Rome, 6 - 10 May 2002 |
Report on Investments - 2001 |
1. This document is submitted to the Finance Committee for information, in accordance with Financial Regulation IX, which provides, in part as follows: "The Director-General may invest monies not needed for immediate requirements seeking, wherever practicable, the advice of the United Nations Investments Committee. The investment of monies standing to the credit of any trust fund, reserve or special account shall be subject to any directives of the appropriate authority. At least once a year, the Director-General shall include in the financial statements submitted to the Finance Committee a statement of the investments currently held." 1
2. The financial assets of the Organization referred to above, for purposes of investment are apportioned to and managed in two separate portfolios: a long-term portfolio managed by Fiduciary Trust Company; and a short-term portfolio managed by The Northern Trust Company.
3. The long-term investment fund is set up to enable the Organization to meet the long-term liabilities resulting from the Staff Compensation Plan, the Separation Payment Scheme and After Service Medical Liabilities2. The Staff Compensation Plan Reserve Fund and the Separation Payment Scheme Fund accounts were combined in May 2000 into the FAO long-term investment account in order to take advantage of economies in terms of investment commissions and fees. The monies are invested in internationally diversified equities, fixed income instruments and venture capital, with the dual objectives of preservation of capital and capital growth. The benchmark for this portfolio as approved by the FAO Investments Committee and endorsed by the Advisory Committee on Investments is:
4. The benchmark combination provides a means of comparison of the returns of the portfolio in terms of both growth and income with indices whose components fairly represent the geographical and sector allocation of the portfolio. It was reviewed with the Advisory Committee in May 2001, along with all other benchmarks and investment guidelines and is currently under further review with Cambridge Associates, the Organization's financial consulting firm. Possible adjustments to the benchmark will include a Euro-based fixed income benchmark.
5. As at 31 December 2001, the balance in the long-term portfolio amounted to:
as of 31 December 2001 | |
1. Cost basis | US$168,247,095 |
2. Market value | US$178,528,217 |
3. Unrealized gain | US$10,281,123 |
6. The investment guidelines to the asset manager (Fiduciary Trust Company International - FTCI) for the year 2001 have been to trade, buy, sell or otherwise acquire and/or hold, the following combination of instruments: 65% equity and/or equity related securities, 35% fixed income instruments under a balanced mandate as reflected in the selected benchmarks.
7. At the end of 2001 the long-term portfolio held equities and fixed income of 50 and 31 percent respectively (excluding venture capital comprised of both investment categories) which compares with 48 and 36 percent respectively on a cost basis. The balance of the portfolio as of 31 December 2001 consisted of venture capital and temporarily invested cash and short term securities.
8. As of December 31, 2001, the FAO one year benchmark return was -10.49% while the FAO long-term portfolio one-year return was -16.75%. The table below shows the breakdown of the one-, three-, and five-year returns as of 31 December 2001.
SUMMARY BREAKDOWN OF RETURNS | ||||
1-year |
3-year |
5-year | ||
Period |
(Jan - Dec 2001) |
(ending Dec 2001) |
(ending Dec 2001) | |
FAO Return3 |
-16.75% |
0.97% |
5.50% | |
Total Benchmark |
-10.49% |
1.19% |
3.88% |
9. In terms of accounting gains and losses, the results for 2001 show that FAO had realised losses (selling price vs. cost) of US$16.4 million and that, given the composition of the securities held at 31 December 2001, FAO has unrealised gains of US$10.3 million, as shown in the table below.
GAINS/LOSSES (US Dollars) | ||||
Year 2001 |
as at December 2001 | |||
REALIZED4 |
UNREALIZED | |||
% change market over cost |
% change market over cost | |||
EQUITIES |
-6,208,713
|
-27.75
|
8,160,171
|
17.64
|
Sub Total |
-13,491,446 |
-13.95 |
7,323,083 |
9.00 |
FIXED INCOME |
167,743
|
1.31
|
326,973
|
2.48
|
Sub Total |
-3,487,300 |
-8.30 |
-4,117,968 |
-6.89 |
VENTURE CAPITAL |
0 |
0 |
6,830,051 |
68.92 |
TEMPORARY INVESTMENTS |
524,381 |
0 |
245,957 |
1.43 |
TOTAL |
-16,454,365 |
-11.89 |
10,281,123 |
6.11 |
10. The above table shows that 2001 was a difficult year, particularly for growth orientated managers, which is the investment strategy followed by FAO's long term portfolio manager (Fiduciary Trust International). The unwinding of the technology "bubble" starting in 2000 spread to the wider market through 2000 as economic growth slowed worldwide. This trend continued into 2001 and the market moved down dramatically as the US economy entered recession in 2001. While moving down in the first 3 quarters of 2001, it dropped sharply following the terrorist attacks of 11 September 2001. While some recovery in the equity markets did take place in the last two months of 2001, FAO's numbers were advserely affected by the Enron Fall and by the weakness of the Euro in 2001. That is, FAO realised some US$3.6 million in losses on bonds in 2001, owing to the decline of the Euro against the US dollar over the past two years. These were French and German Government bonds which were sold in 2001 to reposition the portfolio (with positive results relative to the benchmark). While these bonds provided an appropriate return in local currency, they were acquired in 1999 when the Euro was much higher (US$1.05) thus creating losses in dollar terms when sold (the Euro below US$ 0.90).
11. Given the turbulence in the equity markets over the past year, Fiduciary under-weighted FAO's position in equities for the whole year, but this under-weighting in equities did not fully deal with specific stock selection problems. This was the case in the energy sector, telecommunications, information technology and utilities as shown in the table below.
PERFORMANCE SECTOR SUMMARY REPORT - 12/31/00 TO 31/12/01 | ||||
Sector | Portfolio Weight | Benchmark Weight | Portfolio Return | Benchmark Return |
Energy | 4.58 | 4.18 | -31.66 | -10.70 |
Materials | 0.33 | 2.87 | -7.01 | -6.93 |
Industrials | 16.60 | 22.99 | -26.78 | -19.45 |
Consumer Disc. | 12.75 | 10.29 | -19.91 | -15.15 |
Consumer Staples | 4.78 | 7.66 | -11.19 | -12.33 |
Healthcare | 17.05 | 8.07 | -14.51 | -9.79 |
Financials | 17.94 | 27.10 | -21.04 | -20.30 |
Information Tech. | 17.24 | 8.89 | -39.94 | 0.82 |
Telecom services | 6.15 | 5.20 | -32.76 | -4.66 |
Utilities | 2.59 | 2.74 | -67.47 | -20.67 |
TOTAL | 100.00 | 100.00 | -27.71 | -15.80 |
12. The specific stocks that produced a significant impact on performance in FAO's equity holdings are listed below.
HOLDINGS WITH SIGNIFICANT PERFORMANCE IMPACT BY COUNTRY AND SECTOR | |||
Sector | Company | Country | Weighted Basis Point (%) |
Energy | Halliburton Cie. Gen. Geophysique |
USA France |
-0.42 -0.11 |
Industrials | Empresa Irish Control Group Pinguely - Haulotte |
Brazil Ireland France |
-0.59 -0.23 -0.44 |
Consumer Staples | CVS Group Woolworths |
USA Australia |
-0.57 +0.27 |
Healthcare | LVL Medical Groupe Pfizer Instrumentarium Merck Recordati Quiagen |
France USA Finland USA Italy Germany |
-0.38 +0.24 +0.21 -0.26 +0.56 -0.23 |
Information Tech. | Converse Tech. Tandberg Microsoft Flextronics EMC Oracle Solectron Leica Geosystems Aixtron JDS Uniplex Kudelski Mercury Interactive Cisco Systems Riber |
USA Norway USA Singapore USA USA USA Switzerland Germany USA Switzerland USA USA France |
-0.54 +0.48 +0.30 -0.36 -1.48 -0.32 -0.59 -0.25 -0.34 -0.21 -0.23 -0.39 -0.54 -0.31 |
Telecom Services | Colt telecom Broadwing |
UK USA |
-0.78 -0.26 |
Utilities | Enron Corporation Constellation Energy |
USA USA |
-1.25 |
13. If one looks at the performance from a country perspective, it shows a broad based decline in practically all major equity markets in 2001, as shown in the table below.
PERFORMANCE COUNTRY SUMMARY REPORT - 21/31/00 TO 31/12/01 | ||
Country | Portfolio | Benchmark |
Denmark | -17.78 | -8.29 |
France | -43.65 | -16.08 |
Germany | -44.33 | -14.12 |
HongKong | -34.80 | -14.59 |
Italy | +8.00 | -18.82 |
Japan | -26.57 | -35.07 |
Norway |
-11.82 |
-17.52 |
Switzerland |
-39.82 |
-15.83 |
UK |
-21.56 |
-14.82 |
USA |
-23.96 |
-13.73 |
14. What may be concluded from this analysis is that Fiduciary's sell discipline was not as effective as it could have been. With the benefit of hindsight, it looks like positions were maintained for too long. Discussions are underway with Fiduciary who have implemented a more rigorous review, triggered by a price move of 20% in any stock. This and other guidelines for closer monitoring will be discussed later this month with the FAO Advisory Committee on Investments.
15. In judging the returns for 2001, it is important to recognise that Fiduciary's growth style of management, which we now have under review, substantially out-performed growth indices over the past 5 years, significantly so prior to 2000 as shown below.
Performance Returns - Actual vs. Benchmark % Return on portfolio (market vs. cost) | |||||
2001 | 2000 | 1999 | 1998 | 1997 | |
Actual |
-16.75 |
-10.71 |
31.00 |
20.80 |
11.63 |
Benchmark |
-10.49 |
-8.61 |
14.90 |
19.40 |
7.68 |
16. Annex A attached lists the securities held in the long term portfolio at 31 December 2001 and compares the cost of these securities to their market price at the end of the year.
17. The short-term investment account consists largely of Trust Fund deposits held pending disbursements on project implementation. These funds are currently invested by the Northern Trust Company (the custodian for FAO) in accordance with the recommendation of the FAO Advisory Committee on Investments at its Twenty-fourth Session (18 May 1998)
18. The benchmark used to measure performance on the short-term fixed income portfolio is the Northern Trust Government Select Fund. The fund invests primarily in U.S. Government and Government Agency Securities with the objectives of capital protection, income and liquidity. The total return which closely follows the returns of the short-term US interest rates, was 4.01% during 2001 versus a benchmark of 4.05% . The balance in this portfolio at 31 December 2001 amounted to US$276,639,048, which chiefly represented highly liquid Trust Fund money held by FAO. The returns on the portfolio for up to five years are shown below.
1 year |
3 Years |
5 Years | |
Period |
Jan to Dec 2001 |
ending Dec 2001 |
ending Dec 2001 |
FAO Short-term Return |
4.01% |
5.09% |
5.22% |
19. As part of the decision to externalize the management of the short-term portfolio, the Advisory Committee on Investments meeting on 25 May, 2001 re-endorsed the proposal to change the current short term portfolio to a proactive approach using the two specialized asset managers selected through a competitive process by the Investment Committee: Wellington Management Company and Western Asset Management. The Committee confirmed the appropriateness of the investment guidelines for these contracts, but suggested they also be reviewed by Cambridge Associates prior to finalizing agreements with the two new short-term investment managers. The contracts have been cleared by Cambridge Associates and are under implementation.
Table 1: EQUITIES - US DOLLAR (as of 31 December 2001) | ||||
Shares |
Securities Description |
Market Value |
Cost |
Total unrealised Gain/Loss |
1 | Adr Tele Norte Leste Participacoes S A Sponsored A | 15,63 | 13,84 | 1,79 |
154.429 | Fiduciary Emerging Shs | 1.792.920,69 | 1.489.230,60 | 303.690,09 |
70.905 | Adr Utd Microelectronics Corp | 680.688,00 | 544.834,66 | 135.853,34 |
13.000 | Adr Bp Plc Formerly Bp Amoco Plc To 05/ Sponsored Adr Bp Plc | 604.630,00 | 643.370,00 | 38.740,00 |
31.001 | Agilent Technologies Inc Com | 883.838,51 | 969.007,24 | 85.168,73 |
31.905 | Amer Intl Group Inc Com | 2.533.257,00 | 2.224.727,67 | 308.529,33 |
17.500 | Amern Std Cos Inc Del Com | 1.194.025,00 | 1.093.260,00 | 100.765,00 |
16.500 | Amgen Inc Com | 931.260,00 | 996.789,51 | 65.529,51 |
17.000 | Anadarko Petro Corp Com | 966.450,00 | 1.068.728,10 | 102.278,10 |
21.000 | Applied Materials Inc Com | 842.100,00 | 848.089,20 | 5.989,20 |
27 | Berkshire Hathaway Inc Cl B Com | 68.175,00 | 34.253,42 | 33.921,58 |
18 | Berkshire Hathaway Inc Del Cl A | 1.360.800,00 | 663.103,07 | 697.696,93 |
31.000 | Broadwing Inc Com Isin Us1116201005 | 294.500,00 | 1.043.076,68 | 748.576,68 |
14.375 | Cardinal Hlth Inc | 929.487,50 | 494.298,25 | 435.189,25 |
41.850 | Centurytel Inc Com Isin Us1567001060 | 1.372.680,00 | 669.363,50 | 703.316,50 |
43.900 | Cisco Sys Inc Com | 795.029,00 | 282.997,19 | 512.031,81 |
28.000 | Citigroup Inc Com | 1.413.440,00 | 1.401.200,00 | 12.240,00 |
18.604 | Clear Channel Communications Inc Com | 947.129,64 | 1.082.280,00 | 135.150,36 |
10.000 | Costco Whsl Corp New Com | 443.800,00 | 416.000,00 | 27.800,00 |
1.400 | Coventry Hlth Care Inc Com | 27.930,00 | 35.077,42 | 7.147,42 |
25.500 | Electr Data Sys Corp New Com | 1.748.025,00 | 1.285.085,83 | 462.939,17 |
11.000 | Eli Lilly & Co Com | 863.940,00 | 962.517,68 | 98.577,68- |
39.000 | Emc Corp Com | 524.160,00 | 888.052,08 | 363.892,08 |
18.400 | Fnma Com Stk | 1.462.800,00 | 1.065.063,99 | 397.736,01 |
61.800 | Gen Elec Co Com | 2.476.944,00 | 823.263,84 | 1.653.680,16 |
19.200 | Genzyme Corp Com | 1.149.312,00 | 961.341,10 | 187.970,90 |
39.000 | Intel Corp Cap | 1.226.550,00 | 665.650,89 | 560.899,11 |
15.300 | Intl Business Machs Corp Com | 1.850.688,00 | 1.695.985,00 | 154.703,00 |
37.000 | J P Morgan Chase & Co Com | 1.344.950,00 | 1.926.564,60 | 581.614,60 |
9.000 | Kimberly-Clark Corp Com | 538.200,00 | 549.209,70 | 11.009,70 |
89.600 | Liberty Media Corp New Com Ser A | 1.254.400,00 | 1.519.317,60 | 264.917,60 |
8.500 | Marsh & Mc Lennan Co's Inc | 913.325,00 | 991.271,70 | 77.946,70 |
20.000 | Mcgraw Hill Companies Inc Com | 1.219.600,00 | 1.333.224,13 | 113.624,13 |
33.000 | Medtronic Inc Com | 1.689.930,00 | 1.676.933,40 | 12.996,60 |
20.000 | Merck & Co Inc Com | 1.176.000,00 | 416.530,38 | 759.469,62 |
24.300 | Microsoft Corp Com | 1.609.875,00 | 690.766,59 | 919.108,41 |
44.075 | Pfizer Inc Com | 1.756.388,75 | 678.371,96 | 1.078.016,79 |
25.000 | Schering-Plough Corp Com | 895.250,00 | 955.648,10 | 60.398,10 |
23,000 | Sprint Corp Pcs Com Ser 1 | 561,430,00 | 590.161,80 | 28,731.80 |
15.000 | St Paul Cos Inc Com | 659.550,00 | 52.313,00 | 92.763,00 |
32.250 | Staples Inc Com | 603.075,00 | 707.436,00 | 104.361,00 |
46.000 | Sysco Corp Com | 1.206.120,00 | 307.610,00 | 101.490,00 |
15.900 | Tel & Data Sys Inc Com Stk New | 1.427.025,00 | 760.172,50 | 666.852,50 |
9.500 | Tenet Healthcare Corp Com | 557.840,00 | 568.100,00 | 10.260,00 |
15.228 | Transocean Sedco Forex Inc Com | 515.010,96 | 654.503,48 | 139.492,52 |
50.400 | Tyco Intl Ltd New Com | 2.968.560,00 | 1.544.592,95 | 1.423.967,05 |
12.000 | United Parcel Svc Inc Cl B | 654.000,00 | 690.720,00 | 36.720,00 |
23.500 | Verizon Communications Com | 1.115.310,00 | 258.220,60 | 142.910,60 |
20.280 | Viacom Com Cl B | 895.362,00 | 959.167,15 | 63.805,15 |
26.500 | Wells Fargo & Co New Com Stk | 1.151.425,00 | 1.091.676,72 | 59.748,28 |
299 | Pvtpl Centaur Fdg Corp Pref Shs Ser B 9.08 144a | 331,142.50 | 299,000.00 | 32,142.50 |
|
Totals | 54.428.344,18 | 46.268.173,12 | 8.160.171,06 |
Table 2: EQUITIES - NON US DOLLAR - (As of 31 December 2001) | ||||
Shares |
Securities Description |
Market Value |
Cost |
Total unrealised Gain/Loss |
73,095 |
Kingspan Group Ord Eur0.13 |
215,955.25 |
382,240.19 |
-166,284.94 |
99,885 |
Aggreko Ord Gbp0.20 |
530,607.26 |
629,529.47 |
-98,922.21 |
125,000 |
Amey Ord Gbp0.01 |
678,576.63 |
692,211.90 |
-13,635.27 |
1,490 |
Bp Ord Usd0.25 |
11,579.97 |
11,416.70 |
163.27 |
179,136 |
Colt Telecom Group Ord Gbp0.025 |
297,212.98 |
1,514,875.86 |
-1,217,662.88 |
220,000 |
Compass Group Ord Gbp0.10 |
1,648,959.39 |
1,032,348.59 |
616,610.80 |
660 |
Misys Ord Gbp0.01 |
3,121.82 |
5,441.83 |
-2,320.01 |
67,800 |
Reckitt Benckiser Ord Gbp0.105263 |
986,755.93 |
926,442.87 |
60,313.06 |
36,300 |
Shire Pharma Group Ord Gbp0.05 |
454,344.35 |
632,006.88 |
-177,662.53 |
130,000 |
Taylor Nelson Sofr Ord Gbp0.05 |
366,103.92 |
615,772.74 |
-249,668.82 |
2,838 |
Vodafone Group Plc Ord Usd0.10 |
7,424.41 |
9,669.26 |
-2,244.85 |
8,915 |
Coloplast Ser'b'dkk10(Regd) |
585,618.05 |
454,324.63 |
131,293.42 |
4,670 |
Group 4 Falck Dkk20 |
523,758.75 |
374,943.89 |
148,814.86 |
7,860 |
Radiometer As 'B'dkk20 |
245,389.68 |
260,132.56 |
-14,742.88 |
6,845 |
Tk Development Dkk20 |
147,738.35 |
227,483.32 |
-79,744.97 |
13,370 |
Omega Pharma Npv |
605,351.75 |
495,599.14 |
109,752.61 |
21,250 |
Hartwall Oyj Ser'a'npv |
433,291.19 |
401,484.84 |
31,806.35 |
13,600 |
Instrumentarium Npv |
569,144.06 |
415,084.36 |
154,059.70 |
30,360 |
Uponor Oyj Eur2 |
506,860.54 |
505,771.12 |
1,089.42 |
20,205 |
Vaisala Ser'a'npv |
491,141.85 |
587,348.71 |
-96,206.86 |
26,578 |
April Group Eur0.40 |
392,840.11 |
393,946.36 |
-1,106.25 |
5,190 |
Beneteau Eur1 |
402,735.76 |
387,474.42 |
15,261.34 |
3,715 |
Brioche Pasquier Eur2 |
216,332.62 |
299,964.00 |
-83,631.38 |
34,110 |
Elior Npv |
244,794.81 |
259,316.57 |
-14,521.76 |
9,485 |
Marionnaud Parfume Eur3.50 |
459,432.46 |
523,919.95 |
-64,487.49 |
19,050 |
Medidep Frf5 |
367,230.14 |
328,688.59 |
38,541.55 |
16,280 |
Neopost Eur1 |
474,300.01 |
439,915.79 |
34,384.22 |
6,550 |
Penauille Polyserv Eur2 |
230,368.89 |
364,276.27 |
-133,907.38 |
26,690 |
Sr Teleperformance Eur2.50 |
558,472.61 |
516,028.24 |
42,444.37 |
7,410 |
Fja Ag Npv |
336,491.29 |
434,178.91 |
-97,687.62 |
6,700 |
Intershop Communic Npv |
8,232.64 |
254,001.20 |
-245,768.56 |
14,850 |
Puma Ag Npv |
449,563.26 |
1262,866.95 |
86,696.31 |
30,300 |
Qiagen Nv Eur0.01 |
570,608.77 |
195,766.60 |
374,842.17 |
9,465 |
Stada Arzneimittel Npv(Regd)(Vinkuliert) |
330,784.93 |
264,932.68 |
65,852.25 |
19,400 |
Techem Ag Npv |
418,888.96 |
501,217.31 |
-82,328.35 |
23,375 |
Wedeco Ag Water Te Npv |
718,052.43 |
828,877.03 |
-110,824.60 |
73,680 |
Anglo Irish Bk Cp Ord Eur0.32(Dublin Listing) |
285,380.51 |
260,409.87 |
24,970.64 |
206,200 |
Ifg Group Ord Eur0.12 |
615,062.02 |
500,621.32 |
114,440.70 |
94,165 |
Kingspan Group Ord Eur0.13(Dublin Listing) |
276,687.09 |
323,058.48 |
-46,371.39 |
176,767 |
Fti-Banque Fiducia Ft European High Yd Bd Cl A |
1,340,992.12 |
1,502,888.39 |
-161,896.27 |
17,494 |
Bayerische Vita Eur1.00 |
113,709.68 |
127,930.78 |
-14,221.10 |
53,020 |
Credem Eur1 |
271,451.98 |
264,565.00 |
6,886.98 |
138,600 |
Ferretti S.P.A Eur0.05 |
451,678.85 |
542,294.02 |
-90,615.17 |
73,000 |
Mondadori Edit Eur0.26 |
461,494.63 |
389,878.13 |
71,616.50 |
17,350 |
Permasteelisa Eur0.25 |
242,540.67 |
266,516.74 |
-23,976.07 |
39,095 |
Recordati Eur0.5 |
779,052.52 |
390,247.17 |
388,805.35 |
58,240 |
Azkoyen Sa Eur0.6 |
485,380.87 |
469,226.66 |
16,154.21 |
15,048 |
Baron De Ley Eur0.60 |
349,037.39 |
329,173.59 |
19,863.80 |
28,290 |
Gpo Auxiliar Metal Eur0.50 |
387,917.26 |
507,005.98 |
-119,088.72 |
29,190 |
Zardoya-Otis Eur0.1 |
270,824.07 |
261,503.38 |
9,320.69 |
673,000 |
Cnooc Ltd Hkd0.10 |
634,347.93 |
637,095.49 |
-2,747.56 |
69,000 |
Cheung Kong(Hldgs) Hkd0.50 |
716,736.02 |
576,154.38 |
140,581.64 |
80,000 |
Hong Kong Electric Hkd1 |
297,517.91 |
307,021.13 |
-9,503.22 |
1,577 |
Hsbc Hldgs Usd0.50(Hongkong Reg) |
18,453.96 |
13,679.03 |
4,774.93 |
170,000 |
Li & Fung Hkd0.025 |
190,757.71 |
241,016.49 |
-50,258.78 |
18,000 |
Canon Inc Jpy50 |
619,410.96 |
364,234.23 |
255,176.73 |
13,000 |
Fanuc Jpy50 |
553,486.95 |
631,066.20 |
-77,579.25 |
26,000 |
Kao Corp Jpy50 |
540,592.10 |
689,945.01 |
-149,352.91 |
63,000 |
Nec Corp Y50 |
642,690.37 |
770,358.80 |
-127,668.43 |
85,000 |
Nomura Holdings Inc Y50 |
1,089,577.29 |
1,550,681.95 |
-461,104.66 |
48 |
Ntt Docomo Npv |
564,016.48 |
340,345.59 |
223,670.89 |
24,000 |
Pioneer Corp Jpy50 |
523,729.59 |
873,529.27 |
-349,799.68 |
20,200 |
Shin-Etsu Chem Co Y50 |
725,942.32 |
780,540.14 |
-54,597.82 |
5,200 |
Smc Corp Jpy50 |
529,284.30 |
612,795.47 |
-83,511.17 |
14,000 |
Yamato Transport Com St |
263,848.62 |
304,914.16 |
-41,065.54 |
34,840 |
Tandberg Asa Nok1 |
776,872.22 |
319,607.40 |
457,264.82 |
26,425 |
Tomra Systems Asa Nok1 |
253,369.83 |
305,312.86 |
-51,943.03 |
60,285 |
Capio Ab Sek2 |
410,915.23 |
461,966.80 |
-51,051.57 |
80,830 |
Eniro Ab Sek1 |
577,924.06 |
592,890.60 |
-14,966.54 |
10,500 |
Karo Bio Ab Ord Sek5 |
355,348.58 |
333,229.28 |
22,119.30 |
22,615 |
Modern Times Group Sek5'b' |
498,018.53 |
459,817.73 |
38,200.80 |
9,130 |
Q-Med Ab Sek1 |
151,445.70 |
195,434.05 |
-43,988.35 |
1,945 |
Kaba Holdings Ag Chf10'b'(Regd) |
480,319.23 |
453,731.09 |
26,588.14 |
13,300 |
Logitech Intl Chf1(Regd) |
486,658.64 |
405,282.76 |
81,375.88 |
8,650 |
Tecan Group Ag Chf1(Regd) |
573,106.46 |
345,265.29 |
227,841.17 |
TOTALS |
34,293,646.47 |
35,130,734.44 |
-837,087.97 |
Table 3: FIXED INCOME - US DOLLAR (as at 31 December 2001) | ||||
Shares |
Security Description |
Market Value |
Cost |
Total unrealised Gain/Loss |
500,000 |
Chile(Rep Of) 6.875% Sr Nts 28/4/2009 Usd |
503,350.00 |
494,090.00 |
9,260.00 |
650,000 |
Finland Rep Nt Dtd 07/28/1994 7.875 Due 07-28-2004 Reg |
715,292.50 |
706,062.50 |
9,230.00 |
195,000 |
Barclays Bank 8.55%-Frn Perp Bds Usd Regs |
216,879.00 |
220,539.15 |
-3,660.15 |
225,000 |
Standard Chartered 8.0% 30/05/2031 |
230,298.75 |
223,155.00 |
7,143.75 |
175,000 |
Us Treas 7 Nt Due 07-15-2006 Reg |
193,483.50 |
197,996.09 |
-4,512.59 |
1,344,000 |
Us Treas Bds 5.25 Due 02-15-2029 Reg |
1,258,320.00 |
1,195,913.59 |
62,406.41 |
1,005,000 |
Us Treas Bds 6 Due 02-15-2026 Reg |
1,034,054.55 |
1,008,046.52 |
26,008.03 |
235,000 |
Us Treas Bds Wi Treas Sec Govt Natl 5.375 Due 02-15-2031 Beo |
231,585.45 |
238,157.81 |
-6,572.36 |
490,000 |
Us Treas Nts 7.25 Due 05-15-2004 Reg |
533,105.30 |
532,606.97 |
498.33 |
190,000 |
Us Treas Nts Dtd 05/17/1999 5.25 Due 05-15-2004 Beo |
198,105.40 |
194,839.06 |
3,266.34 |
125,000 |
Us Treas Nts Dtd 08/15/1999 6 Due 08-15-2009 Reg |
133,163.75 |
131,410.61 |
1,753.14 |
250,000 |
Us Treas Nts Dtd 08/15/2000 5.75 Due 08-15-2010 Reg |
262,265.00 |
257,072.81 |
5,192.19 |
620,000 |
Us Treas Ser A-2003 6.25 Nt Due 2-15-03 Reg |
647,416.40 |
637,437.50 |
9,978.90 |
355,000 |
Fhlmc Dtd 01/16/2001 5.25 01-15-2006 |
362,653.80 |
352,752.85 |
9,900.95 |
500,000 |
Fnma 6.625 Due 11-15-2010 Reg |
531,405.00 |
498,242.79 |
33,162.21 |
305,000 |
Fnma Fnma 6 05-15-2011 |
310,145.35 |
311,414.15 |
-1,268.80 |
250,000 |
5.85 Due 02-01-2006 |
257,873.29 |
249,867.50 |
8,005.79 |
250,000 |
Allst Fin Glbal Fd 6.15% Bonds 01/02/2006 |
258,805.42 |
249,925.00 |
8,880.42 |
400,000 |
Boeing Cap Corp Boeing Cap Corp 5.65 Due05-15-2006 Beo |
398,704.00 |
399,272.00 |
-568.00 |
275,000 |
Citigroup Inc Sub Nt 7.25 Due 10-01-2010beo |
294,973.25 |
279,938.30 |
15,034.95 |
105,000 |
Duke Energy Field Svcs Llc Nt 7.875 Due 08-16-2010 Beo |
109,883.55 |
104,878.20 |
5,005.35 |
400,000 |
Ge Cap Med Term Nts Bk Ent Tr 00483 5.35 Due 03-30-2006 Beo |
405,516.00 |
399,652.00 |
5,864.00 |
235,000 |
Kraft Foods Inc Kraft Foods Inc 5.625 Due 11-01-2011 Beo |
227,853.65 |
234,875.45 |
-7,021.80 |
340,000 |
Natl Rural Utils Coop Fin Corp Coll Tr Bd 6 Due 05-15-2006 Beo |
346,524.60 |
338,436.00 |
8,088.60 |
195,000 |
Pitney Bowes 5.87500 04/30/01 05/01/06 5.875 Due 05-01-2006 Beo |
199,395.30 |
194,816.70 |
4,578.60 |
265,000 |
Sbc Communications Inc 6.25 3-15-11 Beo |
269,770.00 |
263,121.15 |
6,648.85 |
210,000 |
Systems 2001 Ast 20130915 20010619 6.664 Due 09-15-2013 Beo |
210,000.00 |
201,221.28 |
8,778.72 |
275,000 |
Worldcom Ga New 7.50000 05/16/01 05/15/11 7.5 Due 05-15-2011 Beo |
281,622.00 |
271,986.00 |
9,636.00 |
35 |
Fhlmc Gold Pool C00921 7.5 02-01-2030 |
36.58 |
34.70 |
1.88 |
134,526 |
Fnma Pool # 535039 8 Due 12-01-2029 Reg |
141,000.64 |
136,606.87 |
4,393.77 |
315,359 |
Fnma Pool # 535095 8 Due 01-01-2030 Reg |
330,537.48 |
322,011.36 |
8,526.12 |
264,563 |
Fnma Pool # 535425 7.5 Due 08-01-2030 Reg |
272,994.23 |
270,349.92 |
2,644.31 |
377,026 |
Fnma Pool # 616072 6 Due 11-01-2016 Reg |
377,968.98 |
387,335.72 |
-9,366.74 |
750,000 |
Discover Card Mr Tr Cr Cardpassthru Ctf Cl A 5.6 05-15-06 Beo |
776,947.50 |
705,468.76 |
71,478.74 |
345,725 |
Cmo Lb-Ubs Co Mtg Tr 2001-C3 Psthru Ctf Cl A-1 6.058 12-15-10beo |
352,729.55 |
347,439.41 |
5,290.14 |
165,280 |
Cmo Prud Mtg Cap Fdg Llc 2001-C1 Passthru A-1 6.232 5-10-34 Beo |
169,557.36 |
165,693.11 |
3,864.25 |
466,181 |
Dlj Mtg Accep Corp Ser 1998-2 6.75 Ctf Due 06-19-2028 Beo |
473,607.66 |
468,184.50 |
5,423.16 |
TOTALS |
13,517,824.79 |
13,190,851.33 |
326,973.46 |
Table 4: FIXED INCOME - NON-US DOLLAR (As of 31 December 2001) | ||||
Shares |
Security Description |
Market Value |
Cost |
Total unrealised Gain/Loss |
3,700,000 |
Australia(Cmnwlth) 5.75% Bds 15/6/2011 Aud1000 |
1,856,146.12 |
2,147,237.60 |
-291,091.48 |
1,069,000 |
Treasury 5 3/4% Stk 2009 |
1,624,270.12 |
1,691,272.64 |
-67,002.52 |
11,500,000 |
Denmark(Kingdom) 7% Bds 15/12/04 Dkk0.01 |
1,472,480.36 |
1,902,240.25 |
-429,759.89 |
3,200,000 |
France(Govt Of) 5.5% Oat 25/4/2029 Eur1 |
2,884,612.99 |
2,881,723.47 |
2,889.52 |
2,300,000 |
France(Govt Of) 3% Oati 25/7/2009 Eur1 |
2,074,125.95 |
2,027,770.13 |
46,355.82 |
2,600,000 |
Germany(Fed Rep) 4.125% Bds 4/7/08 Eur0.01 |
2,245,590.29 |
2,178,710.20 |
66,880.09 |
2,608,102 |
Italy(Rep Of) 8.5% Btp 1/8/2004 Eur0.01 |
2,554,481.12 |
3,286,949.80 |
-732,468.68 |
4,500,000 |
Unilever Nv 5.125% Gtd Mtn 7/6/06 Eur |
4,065,702.66 |
3,973,333.98 |
92,368.68 |
2,614,402 |
Spain(Kingdom Of) 8% Bds 30/5/04 Eur |
2,540,399.17 |
3,282,282.12 |
-741,882.95 |
3,600,000 |
Bat Intl Finance 4.875% Gtd Mtn 25/02/09 Eur |
3,021,610.02 |
3,598,579.26 |
-576,969.24 |
3,500,000 |
Transco 5.25% Emtn 23/5/06 Eur'21' |
3,139,307.62 |
3,080,272.35 |
59,035.27 |
1,500,000 |
Wpp Group Plc Unsordinat 6.0% 18/06/2008 |
1,304,681.73 |
1,266,716.91 |
37,964.82 |
3,000,000 |
Fed Home Loan Mtg 5.25% Mtn 15/1/06 Eur1000 |
2,743,858.46 |
2,748,762.06 |
-4,903.60 |
280,000,000 |
Gen Motors Acc Cp Frn 7/2002 Jpy1000000 |
2,124,996.18 |
2,458,098.79 |
-333,102.61 |
666,000,000 |
Kfw International 1.75% Bk Guar 23.03.2010 |
5,393,640.13 |
6,152,448.85 |
-758,808.72 |
3,500,000 |
New Zealand(Govt) 6% Bds 15/11/2011 Nzd1000 S |
1,374,150.71 |
1,482,717.66 |
-108,566.95 |
15,900,000 |
Sweden(Kingdom Of) 8% Bds 15/8/2007 Sek '1037' |
1,726,768.16 |
2,432,647.58 |
-705,879.42 |
Totals |
42,146,821.79 |
46,591,763.65 |
-4,444,941.86 |
Table 5: VENTURE CAPITAL - US DOLLAR - (as of 31 December 2001) | ||||
Shares |
Security Description |
Market Value |
Cost |
Total unrealized Gain/Loss |
618,366.02 |
Fiduciary Intl Emerg Mkts Bd |
7,179,229.49 |
6,154,515.96 |
1,024,713.53 |
309,732.83 |
Fiduciary Tst Gbl Us High Gwth Eq Fd |
9,326,055.51 |
3,430,368.00 |
5,895,687.51 |
32,500.00 |
Asia Ex Japan Eqt Fd Unt 10 Plac |
234,650.00 |
325,000.00 |
-90,350.00 |
TOTALS |
16,739,935.00 |
9,909,883.96 |
6,830,051.04 |
Table 6 - TEMPORARY INVESTMENTS (as of 31 December 2001) | |||
Securities Description |
Market Value |
Cost |
Total unrealised Gain/Loss |
Temporary investment of cash into interest-bearing account (also includes currency revaluation, foreign exchange and foreign currency options) | 17,401,645.03 | 17,155,688.14 | 245,956.89 |
Table 7 - GRAND TOTALS/SUMMARY (as at 31 December 2001) | |||
Market Value5 |
Cost6 |
Total Unrealized Gain/Loss | |
Equities - US Dollar |
54,428,344.18 |
46,268,173.12 |
8,160,171.06 |
Equities - Non-US Dollar |
34,293,646.47 |
35,130,734.44 |
-837,087.97 |
Fixed Income - US Dollar |
13,517,824.79 |
13,190,851.33 |
326,973.46 |
Fixed Income - Non-US Dollar |
42,146,821.79 |
46,591,763.65 |
-4,444,941.86 |
Venture Capital |
16,739,935.00 |
9,909,883.96 |
6,830,051.04 |
Temporary Investments |
17,401,645.03 |
17,155,688.14 |
245,956.89 |
Grand Total7 |
178,528,217.26 |
168,247,094.64 |
10,281,122.62 |
Table 1: Northern Trust Institutional Funds Government Select Portfolio
| |
Benchmarks, Return and Account Activity for the year 2001 | |
FAO Total Return - year 2001 (net of fees) | 4.01% |
Benchmark - 3 month USD LIBOR plus 25 basis points | 4.05% |
Benchmark - 80 percent of 3 Month U.S Treasury Bill rate | 2.73% |
Table 2: NorthernTrust - Government Select Fund
| |||||||
Lipper Analytical vs. iMoney Net Comparative - 31 December 20018 | |||||||
Period | Portfolio return | Lipper (Institutional US Govt MMF) | iMoney NetInc (Institutional Govt & Agencies | ||||
Average Objective Rtn | Fund Ranking9 | Percentile Ranking | Average Objective Rtn | Fund Ranking | Percentile Ranking | ||
Month | 0.17 | 0.16 | 24/120 | 20 | 0.15 | 43/162 | 27 |
Last 3 mths | 0.59 | 0.55 | 26/120 | 22 | 0.53 | 30/156 | 19 |
Year to date | 4.01 | 3.86 | 31/108 | 29 | 3.74 | 31/119 | 26 |
Last 12 mths | 4.01 | 3.86 | 31/108 | 29 | 3.74 | 31/119 | 26 |
Table 3: SUMMARY OF ACTIVITY FOR YEAR 2001
| |||
Opening Balance 173,481,702.53 | Closing Balance 276,639,047.67 | ||
Value Date |
Additions |
Withdrawals |
Income Received |
04-Jan | 5,916.56 | ||
04-Jan | 750,281.57 | ||
05-Jan | 9,820.44 | ||
05-Jan | 30,000,000.00 | ||
12-Jan | 10,000,000.00 | ||
05-Feb | 8,479.53 | ||
05-Feb | 7,708.47 | ||
05-Feb | 1,055,804.20 | ||
08-Feb | (20,000,000.00) | ||
05-Mar | 852,239.73 | ||
04-Apr | 866,163.55 | ||
12-Apr | 20,000,000.00 | ||
27-Apr | 8,542.90 | ||
30-Apr | 10,000,000.00 | ||
03-May | 841,258.93 | ||
04-May | 8,588.54 | ||
05-Jun | 9,676.67 | ||
05-Jun | 862,745.18 | ||
03-Jul | (15,000,000.00) | ||
03-Jul | (20,000,000.00) | ||
04-Jul | 741,385.72 | ||
05-Jul | 9,397.80 | ||
03-Aug | 616,418.80 | ||
06-Aug | 8,450.23 | ||
14-Aug | (20,000,000.00) | ||
05-Sep | 546,529.29 | ||
06-Sep | 7,820.19 | ||
03-Oct | 451,274.21 | ||
05-Oct | 7,217.34 | ||
05-Nov | 405,319.47 | ||
06-Nov | 7,479.71 | ||
15-Nov | 30,000,000 | ||
04-Dec | 7,872.13 | ||
05-Dec | 360,953.98 | ||
18-Dec | 20,000,000 | ||
19-Dec | -300,000.0010 | ||
21-Dec | 5,000,000 | ||
24-Dec | 45,000,000 | ||
170,000,000.00 | -75,000,000.00 | 8,157,345.14 |
_____________________________
1 In 1998 the UN Investments Committee informed FAO that it could no longer advise FAO on investment practices. In consequence, a reorganization of the three committees which dealt with investment activities of the Organization took place; the Credit Committee was integrated into the Investment Committee which was then assigned responsibility for management of the short-term and long-term assets. In addition, the Advisory Committee on Investments has as its purpose to provide the Director-General an independent view on the policies, plans, operations and performance of the various FAO investment portfolios and on any other aspect of FAO financial management on which the Director-General seeks the Committee's advice. The Advisory Committee on Investments will review the annual report prepared by Treasury for the Investment Committee and make recommendations to the Director-General.
2 The Staff Compensation Plan, introduced on 1 January 1956, provides compensation benefits to staff members (and/or their dependants) in case of injury, illness, or death, attributable to the performance of official duties. The Organization's liability under the Plan is funded currently at 0.129% of payroll for the Regular Programme and other Headquarters Staff and 0,266% for Field Staff. These rates were confirmed by the Finance Committee at its Seventy-seventh Session (21-30 September 1993).
The Separation Payment Scheme, approved by the Council at its Sixty-sixth Session (June 1975) as part of the pay package of Rome General Service Staff with effect 1 January 1975, provides for payments upon separation at the rate of the one month's pay for each year of service computed on the basis of the rate of pay of the month of termination of contract. The Council also decided that the Organization's liability should be funded and an actuarial review of the Fund was last made at 31 December 1997 and subsequently updated as of 31 December 1999. As a result of the review, the amount of $64,838,000 was accrued in the financial statement 1998-1999 for the Separation Payment Scheme.
The After Service Medical Plan provides for worldwide coverage for necessary medical expenses of eligible former staff members and their dependants. The Plan is subject to actuarial review to ascertain the related liabilities and rates of contribution. Conference Resolution 10/99 approved, inter alia, the practice of earmarking excess investment income generated through the Separation Payments Scheme and Staff Compensation Plan investments for the After Service Medical Plan liability. The amount of the investment income designated for the After Service Medical Plan amounted to $42.8 million based on an actuarial review at 31 December 1999.
3 Return reflects realised and unrealised gains/losses and accrued income and dividends/interest income across all asset classes.
4 Capital gains and/or losses realised in the year 2001.
5 Market value of all positions held as of 31 December 2001.
6 Cost basis of all positions held as of 31 December 2001.
7 Accrued income not included of US$1,289,397.15;total cost US$169,536,497; total market US$179,817,614.
8 Lipper and ImoneyNetInc are both peer groups of funds with similar objectives.
9 Fund and perentile ranking show the Government Select Portfolio's position within each peer group for each period of return.