The FRS Select U.S. Yield Plus Money Market Fund uses one institutional investment manager the serves in a fiduciary capacity to the FRS.

Details for Investment Manager
Investment Manager

BlackRock

45 Fremont Street, 34th Floor
San Francisco, CA 94105
Asset Class and Objective

Core money market fund

Fund Benchmark

iMoneyNet Money Fund Average

Management Type

Actively Managed
Marketing Company

None

Management Fee

A flat asset based fee of 0.07%
Restrictions on Transfers Investment funds in the FRS Investment Plan are subject to excessive trading restrictions as detailed in the FRS Investment Plan Summary Plan Description and FRS Excessive Fund Trading Policy.
Fees and Expenses

Fees and expenses are only one of several factors that should be considered when making investment decisions. More information on fees and expenses can be found in the FAQs on the MyFRS.com website.
Investment Philosophy

BlackRock' (BTC) manages all components of the risk inherent in short-term fixed income portfolios: credit, interest rate, liquidity and structure. They take risks commensurate with clients' needs.

Research Process

See Security Selection and Portfolio Construction

Security Selection

Individual security selection occurs to satisfy any of several elements that comprise the portfolio construction process.

Specific credits may be identified that are viewed as attractive on a relative value basis and that fit within the diversification guidelines. These positions may also correspond with a desired interest rate positioning view. Additionally, some positions will be taken along with an acompanying hedge to ensure that the position adds the appropriate spread return while not adversely impacting the rate or liquidity positioning of the portfolio. All positions will be acquired with a view towards maintaining a desired level of quantified risk versus the desired risk budget.

Portfolio Construction

From a credit perspective, the portfolio is made up of corporate, bank, financial institution and asset-backed securities. From an interest rate perspective, BTC uses a combination of fixed rate assets, floating rate assets and synthetic cash transactions to maintian a maturity profile that seeks to take advantage of relative value along the short-term yield curve.

BTC quantifies relative value using proprietary tools that have been developed over a number of years. BTC manages liquidity primarily by maintaining a view of both expected and potential withdrawals over various time-frames, and by maintaining holdings in repo, time deposits and other very short term instruments to compliment the longer-term holdings within the portfolio. BTC manages risk through a combination of two methods. Firstly, they employ traditional guidelines that define absolute limits to such measurements as maturity, weighted average maturity, or percentage exposure to one credit. Additionally, they employ a 'risk budgeting' approach to quantifies potential exposure to credit, interest rate and liquidity risks using stress testing methods based on flexible volatility estimates.

Duration Description:
This strategy is limited to a maximum 90-day weighted average maturity.

Yield Curve Description:
BTC uses proprietary portfolio positioning tools that strive to add value by identifying relative value on the short-term yield curve.

Sell Discipline

Not applicable.
Portfolio Manager(s)
Name Investment Experience Experience Last 5 Years
David Lonergan 15 years Head Cash Management; at BTC since 1994
Cindy Bernhardt 17 years Director; U.S. Cash Portfolio Mgmnt; at BTC since 1997
Vivek Krishnappa 9 years Product Manager; Equity and Capital Markets; at BTC since 1999
IMPORTANT NOTE: The information on investment philosophy, research process, security selection, portfolio construction, sell discipline and personnel was provided to the FRS by product marketing companies or investment managers. The FRS has taken this information as given for the purposes of this document.