San Francisco City & County Employees' Retirement System board of trustees approved use of an aggressive short-duration cash management program run by Northern Trust for up to 20% of the fund's mortgage-backed securities dollar roll $300 million cash portfolio.
The new program, Strategic Opportunity Aggressive Return, is designed to provide 175 basis points over LIBOR. It uses swaps and options, but risk is otherwise tightly constrained, said a fund spokesman.
The $10.1 billion fund is seeking a higher investment return than it receives from its other three cash management programs.
