HomeMy WebLinkAboutInvestment Reports - Jan & Feb 2006CITY OF PALM DESERT
FINANCE DEPARTMENT
INTEROFFICE MEMORANDUM
TO: RACHELLE KLASSEN, CITY CLERK
FROM: NIAMH ORTEGA, RECORDING SECRETARY\
DATE: APRIL 4, 2006
SUBJECT: COMPLIANCE ANALYSIS AND INVESTMENT REPORTS
Please find attached the Compliance Analysis and Investment Reports for January and
February 2006 which were presented and approved at the meeting of March 28, 2006.
Please include on the upcoming agenda for review and acceptance by City Council.
Please feel free to contact me at Ext. 382 if you have any questions. Thank you.
nmo
Attachment (as noted)
G\Finance\Niamh Ortega\WpdocsMnvestment Committee\Memos\rklasseninvreport012605.wpd
Paul S. Gibson, C.C.M.T., Treasurer
Thomas W. Jeffrey, J.D., M.B.A., Deputy City Treasurer
Treasurer's Commentary
The next two meetings of the Federal Open Market Committee (FOMC) will be on March 27-28, and on May 10. The market
consensus is that the FOMC will raise the Federal Funds Rate by 50 basis points (b.p.) to 5.00% over the next two meetings.
The market has assigned a 98% probability to a 25 b.p. hike in March, and an 80% probability to another 25 b.p. hike in May.
The perception is that FOMC rate hikes have historically been driven by the interaction of the Unemployment Rate, and the
Manufacturing Capacity Utilization Rate (CAPU). In other words, the FOMC has increased short-term interest rates when the
Unemployment Rate has bottomed out, and the CAPU has approached 80%.
U.S. economic growth for 2006 is currently being forecast at 3.00 -- 3.50%, with inflation at 2.40%. With the real estate
market slowing, economic growth is now thought to be in the sustainable range.
The inversion of the Treasury "yield curve" is expected to deepen, due to policy -driven increases on the short end of the curve.
At the end of 2006, it is thought that 10-year U.S. Treasury Notes will yield about 5.25%, versus 4.75°10 currently. Thirty-year
fixed-rate mortgages are expected to yield about 6.75% during the same time period. The real estate market will dramatically
slow when 30-year fixed-rate mortgages hit 7.00%. A downturn in the housing market is the single greatest risk to the U.S.
economy in 2007.
Dollars in Thousands
Pa d'S. G C..CM 7
Treasurer
PORTFOLIO STATISTICS
FEB-06 JAN-06 DEC-05 NOV-05 OCT-05 SEP-05
CITY
Month -End Book Value*** $ 147,007 $ 147,649 $ 143,187 $ 146,910 $ 148,655 $ 149,081
Month -End Market Value*** $ 146,312 $ 146,991 $ 142,231 $ 145,957 $ 148,157 $ 148,892
Paper Gain (Loss) $ (695) $ (658) $ (956) $ (953) $ (498) $ (189)
Prior Year Book Variance $ 4,320 $ 7,431 $ 18,463 $ 18,308 $ 18,105 $ 16,961
Interest Earnings $ 476 $ 454 $ 460 $ 440 $ 444 $ 431
Yield -To -Maturity 4.31% 4.06% 3.95% 3.81% 3.67% 3.56%
Weighted Maturity (Days) 414 210 215 215 214 211
Effective Duration 0.76 0.27 0.29 0.31 0.33 0.35
RDA
Month -End Book Value*** $ 153,652 $ 151,779 $ 125,395 $ 121,211 $ 123,243 $ 126,018
Month -End Market Value *** $ 153,233 $ 151,479 $ 124,957 $ 120,754 $ 122,833 $ 125,695
Paper Gain (Loss) $ (419) $ (300) $ (438) $ (457) $ (410) $ (323)
Prior Year Book Variance $ (5,453) $ (8,781) $ (22,407) $ (27,519) $ (25,906) $ (33,342)
Interest Eamings $ 494 $ 435 $ 385 $ 361 $ 350 $ 374
Yield -To -Maturity 4.26% 3.99% 3.82% 3.68% 3.54% 3.42%
Weighted Maturity (Days) 415 128 153 158 156 153
Effective Duration 0.86 0.15 0.20 0.23 0.25 0.27
*** Omits SLGSs.
City of Palm Desert -- Portfolio Characteristics
28 February 2006
Dollars in Thousands
Aaeina Interval Market Value
< 1 M $ 44,789
< 2M
< 3M
< 6M 2,969
< 1YR 1,972
< 2YR 20,154
< 3YR 12,849
< 4YR 12,988
< 5YR -
> 5YR -
Total: $ 95,721
Ratings, * Market Value
AAA $ 62,627
AA $ 2,114
A $ 6,018
Unrated ** 60,185
BB- 9,932
Total: $ 140,876
Sector Market Value
MMFs $ 19,771
LAIF 27,400
RDA Loan 32,785
MTNs 21,964
Agencies 38,956
CP
Total: $ 140,876
Month Citv Yield LAIF Yield Variance
Mar05 2.79 2.54 0.25
Apr 2.94 2.72 0.21
May 3.06 2.86 0.21
Jun 3.29 2.97 0.32
Jul 3.37 3.08 0.29
Aug 3.43 3.18 0.25
Sep 3.56 3.32 0.24
Oct 3.67 3.46 0.21
Nov 3.81 3.64 0.17
Dec 3.95 3.81 0.14
Jan06 4.06 3.96 0.10
Feb 4.31 4.04 0.27
* Standard and Poors
** LAIF, and City Loan to RDA
General Fund Ageing
100
80
60
too
a
40
20
47
0 0
0
<1M <2M <3M
21
3 2
< 6M < 1YR < 2YR
13
n
< 3YR
f
Credit Quality'
Asset Allocation
Performance
4.4
3.9
a 3.4
>-
2.9
2.4
AAA
Unrated **
43%
LAIF
19%
MMFs
14%
RDA Loan
23%
AA
2%
A
4%
MTNs
16%
Agencies
28%
Mar05 Apr May Jun Jul Aug Sep Oct Nov DecJan06 Feb
II LAIF Yield ® City Yield
Page 2 of 8
I Par Value
Medium -Term Notes
$ 3,000,000
$ 3,000,000
$ 2,500,000
$ 4,612,000
$ 2,000,000
$ 2,000,000
$ 3,000,000
$ 2,000,000
1 $ 22,112,000
City of Palm Desert
Portolio Holdings
28 February 2006
Issuer I Coupon' Maturity
BANK ONE
FORD MOTOR CREDIT CORP
FORD MOTOR CREDIT CORP
FORD MOTOR CREDIT CORP
GENERAL ELECTRIC
GENERAL ELECTRIC
GOLDMAN SACHS
WAL-MART
Subtotal
Federal Agencies
$ 2,060,000
$ 2,060,000
Federal Agencies
$ 3,000,000
. $ 1,500,000
$ 3,000,000
$ 3,000,000
$ 3,000,000
$ 1,980,000
$ 3,000,000
$ 2,049,000
$ 2,035,000
$ 2,033,000
$ 2,000,000
$ 2,000,000
$ 2,786,000
$ 2,000,000
33,383,000
I
Market
Cost I YTM I Price I Value
Ratings
Moody's' S&P
4.13 9/1/07 $ 3,020,584 3.64 98.56 $ 2,956,746 Aa3 A+
7.20 6/15/07 $ 3,049,274 5.75 98.21 $ 2,946,381 Ba2 BB-
7.20 6/15/07 $ 2,541,062 5.75 98.21 $ 2,455,318 Ba2 BB-
7.20 6/15/07 $ 4,727,942 5.10 98.21 $ 4,529,570 Ba2 BB-
3.13 11/9/06 $ 1,989,400 3.92 98.66 $ 1,973,264 Aaa AAA
3.60 10/15/08 $ 1,932,451 4.99 96.33 $ 1,926,564 Aaa AAA
7.20 3/1/07 $ 3,106,055 3.50 102.05 $ 3,061,377 Aa3 A+
6.88 8/10/09 $ . 2,121,599 4.93 105.72 $ 2,114,486 Aa2 AA
$ 22,488,366 4.72 $ 21,963,706
-- Discount
FED HOME LOAN BANK 0.00
Subtotal
-- Coupon
FED HOME LOAN BANK
FED HOME LOAN BANK
FED NATIONAL MTG ASSOC
FED NATIONAL MTG ASSOC
FED HOME LOAN BANK
FED HOME LOAN BANK
FED HOME LOAN BANK
FED HOME LOAN BANK
FED HOME LOAN MTG CORP
FED HOME LOAN MTG CORP
FED HOME LOAN MTG CORP
FED HOME LOAN MTG CORP
FED NATIONAL MTG ASSOC
FED NATIONAL MTG ASSOC
Subtotal
Federal Agencies -- Callable
$ 2,000,000 FED HOME LOAN MTG CORP
$ 2,000,000 FED HOME LOAN BANK
$ 4,000,000 Subtotal
Local Government Investment Pool
$ 27,400,000 L.A.I.F.
I $ 27,400,000 Subtotal
3/20/06 $ 2,000,681 3.59 99.77 $ 2,055,262 Aaa AAA
$ 2,000,681 3.59 $ 2,055,262
3.70 8/15/07 $ 2,996,154 3.79 98.28 $ 2,948,438 Aaa AAA
2.10 10/13/06 $ 1,484,867 3.79 98.31 $ 1,474,688 Aaa AAA
3.00 8/15/07 $ 2,974,348 3.63 97.34 $ 2,920,313 Aaa AAA
2.75 8/11/06 $ 2,986,209 3.81 99.06 $ 2,971,875 Aaa AAA
4.38 9/11/09 $ 2,952,294 5.59 98.00 $ 2,940,000 Aaa AAA
4.75 12/12/08 $ 1,973,110 4.87 99.53 $ 1,970,719 Aaa AAA
4.63 9/12/08 $ 2,982,794 5.40 99.31 $ 2,979,375 Aaa AAA
4.00 12/15/09 $ 1,988,231 4.87 96.94 $ 1,986,249 Aaa AAA
2.50 12/4/06 $ 2,015,055 3.84 98.22 $ 1,998,752 Aaa AAA
4.25 7/15/09 $ 1,994,293 4.87 97.88 $ 1,989,799 Aaa AAA
4.13 11/18/09 $ 1,949,214 4.88 97.26 $ 1,945,104 Aaa AAA
4.90 11/3/08 $ 1,992,065 5.06 99.31 $ 1,986,154 Aaa AAA
7.13 3/15/07 $ 2,885,254 3.55 102.16 $ 2,846,073 Aaa AAA
4.63 10/28/09 $ 1,982,977 4.88 98.97 $ 1,979,375 Aaa AAA
$ 33,156,865 4.46 $ 32,936,912
5.05 8/22/08 $ 1,999,381 5.06 99.81 $ 1,996,174 Aaa AAA
4.20 7/18/08 $ 1,969,869 4.88 98.38 $ 1,967,500 Aaa AAA
$ 3,969,250 4.97 $ 3,963,674
0.00 3/1/06 $ 27,400,000 4.04 100.00 $ 27,400,000 U U
$ 27,400,000 4.04 $ 27,400,000
I
I
I
"U" = Unrated Page 3 of 8
I Par Value
1
Issuer
Local Government Investment Pool
$ 10,499,265 C.A.M.P.
$ 10,499,265 Subtotal
Money Market Fund
$ 9,271,561
$ 9,271,561
City Loan to RDA
$ 32,785,480
$ 32,785,480
$ 141,511,306
- Cash
$ 3,313,937
$ 1,191,841
$ 626,263
$ 303,778
I $ 5,435,821
WELLS FARGO GOVT
Subtotal
CITY OF PALM DESERT
Subtotal
CITY MAIN CHKG
DESERT WILLOW CHKG
MONTEREY 170 CHKG
RECREATIONAL FAC CHKG
Subtotal
Total Investments and Cash
$ 146,947,127
Corporate Issuers
City of Palm Desert
Portolio Holdings
28 February 2006
(Coupon' Maturity'
Market
Cost I YTM I Price I Value
Ratings
Moody's' S&P
0.00 3/1/06 $ 10,499,265 4.42 100.00 $ 10,499,265 U AAA
$ 10,499,265 4.42 $ 10,499,265
0.00 3/1/06 $ 9,271,561 3.98 100.00 $ 9,271,561
$ 9,271,561 3.98 $ 9,271,561
0.00 3/1/36 .$ 32,785,480 4.04 100.00 $ 32,785,480
$ 32,785,480 4.04 $ 32,785,480
$ 141,571,468 4.31 $ 140,875,860
Aaa AAA
0.00 3/1/06 $ 3,313,937 0.00 100.00 $ 3,313,937 N/A N/A
0.00 3/1/06 $ 1,191,841 0.00 100.00 $ 1,191,841 N/A N/A
0.00 3/1/06 $ 626,263 0.00 100.00 $ 626,263 N/A N/A
0.00 3/1/06 $ 303,778 0.00 100.00 $ 303,778 N/A N/A
$ 5,435,821 $ 5,435,821
FORD MOTOR CREDIT CORPORATION
GENERAL ELECTRIC CAPITAL CORPORATION
GOLDMAN SACHS
BANK ONE
$ 147,007,289
% of Portfolio I
(Market Value)
6.79%
2.67%
2.09%
1.45%
$ 146,311,680
"U" = Unrated Page 4 of 8
Dollars in Thousands
Aaeina Interval
< 1M
< 2M
< 3M
< 6M
< 1YR
< 2YR
< 3YR
< 4YR
< 5YR
> 5YR
Total:
Palm Desert Redevelopment Agency -- Portfolio Characteristics
28 February 2006
Market Value
$ 55,236
Portfolio Ageing w/o SLGSs I
100
90
80
8,875 7 70
11,771 ,o 60
7, 50 47
21,683
18,748 a 30
20
10 0 0 0
0
$ 116,313
Quality * Market Value
AAA $ 86,086
AA 1,950
A 2,035
Unrated ** 58,746
BB- 2,963
Total: $ 151,780
Sector Market Value
LAIF $ 56,745
MMFs 25,250
Agencies 57,041
MTNs 12,744
CP
Treasuries
Total: $ 151,780
Month RDA Yield LAIF Yield
Mar05 2.58 2.54
Apr 2.80 2.72
May 2.93 2.86
Jun 3.09 2.97
Jul 3.21 3.08
Aug 3.32 3.18
Sep 3.42 3.32
Oct 3.54 3.46
Nov 3.68 3.64
Dec 3.82 3.81
Jan06 3.99 3.96
Feb 4.26 4.04
Credit Quality!
2%
19
8 10
Mi
n
16
< 1M < 2M < 3M < 6M < 1YR < 2YR < 3YR < 4YR
AA
1%
A
1%
Unrated **
39%
Asset Allocation!
Agencies
38%
Variance Performance!
0.04
0.08 4.4
0.07
0.13 3.9
0.13
- 3.4
0.14
0,10
2.9
0.08
0.04 2.4
0.01
0.03
0.22
Mar05 Apr May Jun Jul Aug Sep Oct Nov Dec Jan06 Feb
• LAIF Yield el RDA Yield
* Standard and Poors
** LAIF Page 5 of 8
Palm Desert Redevelopment Agency
Portfolio Holdings
28 February 2006
Market Ratings
I Par Value I Issuer 'Coupon' Maturity I Cost I YTM I Price I Value I Moody's' S&P
Medium -Term Notes
$ 3,000,000 FORD MOTOR CREDIT CORP 6.50 1/25/07 $ 3,041,859 4.85 98.78 $ 2,963,430 Ba2 BB-
$ 2,896,000 GENERAL ELECTRIC 6.38 3/15/06 $ 2,899,133 3.52 100.05 $ 2,897,529 Aaa AAA
$ 2,896,000 GENERAL ELECTRIC 6.38 3/15/06 $ 2,899,133 3.52 100.05 $ 2,897,529 Aaa AAA
$ 2,000,000 FIRST UNION NAT BANK 5.80 12/1/08 $ 2,040,415 5.00 101.77 $ 2,035,472 Aa3 A+
$ 2,000,000 WELLS FARGO BANK 4.00 8/15/08 $ 1,956,142 4.96 97.49 $ 1,949,886 Aa1 AA-
1 $ 12,792,000 Subtotal $ 12,836,682 4.29 $ 12,743,846 1
Federal Agency -- Coupon
$ 3,000,000 FED FARM CREDIT BANK 2.63 9/17/07 $ 2,964,163 3.43 96.69 $ 2,900,625 Aaa AAA
$ 2,000,000 FED FARM CREDIT BANK 6.45 10/7/09 $ 2,102,187 4.88 104.87 $ 2,097,450 Aaa AAA
$ 2,000,000 FED FARM CREDIT BANK 3.63 10/24/08 $ 1,938,057 4.89 96.81 $ 1,936,250 Aaa AAA
$ 2,000,000 FED FARM CREDIT BANK 4.75 8/3/09 $ 1,992,500 4.87 99.53 $ 1,990,625 Aaa AAA
$ 3,000,000 FED HOME LOAN BANK 3.38 9/14/07 $ 2,995,764 3.82 97.78 $ 2,933,438 Aaa AAA
$ 3,005,000 FED HOME LOAN BANK 2.50 3/15/06 $ 3,003,945 3.42 99.91 $ 3,002,183 Aaa AAA
$ 3,970,000 FED HOME LOAN BANK 4.25 9/12/08 $ 3,912,718 4.79 98.41 $ 3,906,728 Aaa AAA
$ 3,970,000 FED HOME LOAN BANK 4.25 9/12/08 $ 3,912,718 4.79 98.41 $ 3,906,728 Aaa AAA
- $ 4,500,000 FED HOME LOAN BANK 4.38 9/11/09 $ 4,428,441 5.59 98.00 $ 4,410,000 Aaa AAA
$ 2,000,000 FED HOME LOAN BANK 3.50 11/3/09 $ 1,908,256 4.88 95.09 $ 1,901,875 Aaa AAA
$ 4,000,000 FED HOME LOAN BANK 4.63 9/12/08 $ 3,977,059 4.84 99.41 $ 3,972,500 Aaa AAA
$ 2,005,000 FED HOME LOAN BANK 3.88 7/24/09 $ 1,942,123 4.89 96.59 $ 1,936,705 Aaa AAA
$ 3,000,000 FED HOME LOAN MTG CORP 4.88 3/15/07 $ 3,044,508 3.38 99.91 $ 2,997,188 Aaa AAA
$ 2,974,000 FED HOME LOAN MTG CORP 3.63 9/15/06 $ 2,974,474 3.60 99.34 $ 2,954,483 Aaa AAA
$ 2,974,000 FED HOME LOAN MTG CORP 3.63 9/15/06 $ 2,974,561 3.60 99.34 $ 2,954,483 Aaa AAA
$ 2,049,000 FED HOME LOAN MTG CORP 4.00 12/15/09 $ 1,988,021 4.87 96.94 $ 1,986,249 Aaa AAA
$ 2,000,000 FED HOME LOAN MTG CORP 5.00 7/23/08 $ 1,996,956 5.07 99.77 $ 1,995,362 Aaa AAA
$ 2,973,000 FED NATIONAL MTG ASSOC 3.63 3/15/07 $ 2,975,162 3.95 98.66 $ 2,933,050 Aaa AAA
$ 4,155,000 FED NATIONAL MTG ASSOC 6.63 9/15/09 $ 4,385,925 4.89 105.41 $ 4,379,630 Aaa AAA
$ 2,000,000 FED NATIONAL MTG ASSOC 3.88 11/17/08 $ 1,949,979 4.87 97.28 $ 1,945,625 Aaa AAA
1 $ 57,575,000 Subtotal $ 57,367,516 4.46 $ 57,041,176 I
Local Government Investment Pools
$ 35,600,000 L.A.I.F. 0.00 3/1/06 $ 35,600,000 4.04 100.00 $ 35,600,000 U U
$ 5,902,251 L.A.I.F. (HOUSING) 0.00 3/1/06 $ 5,902,251 4.04 100.00 $ 5,902,251 U U
$ 15,083,034 L.A.I.F. BOND PROCEEDS 0.00 3/1/06 $ 15,083,034 4.04 100.00 $ 15,083,034 U U
$ 160,090 L.A.I.F. BOND PROCEEDS 0.00 3/1/06 $ 160,090 4.04 100.00 $ 160,090 U U
1 $ 56,745,375 Subtotal $ 56,745,375 4.04 $ 56,745,375 I
Local Government Investment Pool
$ 9,900,359 C.A.M.P. 0.00 3/1/06 $ 9,900,359 4.42 100.00 $ 9,900,359
1 $ 9,900,359 Subtotal $ 9,900,359 4.42 $ 9,900,359
U AAA
I
"U" = Unrated Page 6 of 8
Palm Desert Redevelopment Agency
Portfolio Holdings
28 February 2006
Market I Ratings
f Par Value I Issuer 'Coupon! Maturity I Cost I YTM I Price I Value I Moody'sl S&P
Money Market Fund
$ 15,349,536 WELLS FARGO GOVT 0.00 3/1/06 $ 15,349,536 4.43 100.00 $ 15,349,536 Aaa AAA
1 $ 15,349,536 Subtotal $ 15,349,536 4.43 $ 15,349,536
Total Investments
$ 152,362,269
$ 152,199,467 4.26 $ 151,780,292
Cash
$ 1,124,480 HOUSING AUTH CHKG 0.00 3/1/06 $ 1,124,480 0.00 100.00 $ 1,124,480 N/A N/A
$ 328,400 HOUSING AUTH TRUST 0.00 3/1/06 $ 328,400 0.00 100.00 $ 328,400 N/A N/A
1 $ 1,452,880 Subtotal $ 1,452,880 $ 1,452,880
Total Investments and Cash
$ 153,815,150
Corporate Issuers
GENERAL ELECTRIC CAPITAL CORPORATION
FORD MOTOR CREDIT CORPORATION
FIRST UNION NAT BANK
WELLS FARGO BANK
$ 153,652,348 $ 153,233,172
% of Portfolio I
(Market Value)
3.78%
1.93%
1.33%
1.27%
1
1
"U" = Unrated Page 7 of 8
STATEMENT OF COMPLIANCE
The investment portfolios of the City of Palm Desert ("City") and the Palm Desert Redevelopment Agency ("RDA") are
governed by federal, state, and local law. The City Treasurer's "Statement of Investment Policy" is more restrictive than the
California Government Code. The Palm Desert investment Committee and the Palm Desert City Council review the
Statement of Investment Policy annually.
For the month ended 28 February 2006, the City and the RDA investment portfolios were in compliance with all applicable
federal, state, and local laws and regulations. The City Treasury continued to pursue conservative and prudent investment
strategies, based upon the stated objectives of safety, liquidity, and yield (in order of priority).
Barring unforeseen events, the City Treasury should have sufficient cash to finance the operations of the City of Palm Desert
and the Palm Desert Redevelopment Agency over the next six months. In addition, portions of either the City or the RDA
portfolio could be liquidated in order to meet any significant, unexpected cash requirements.
Bloomberg L.P. and Interactive Data Corporation provided the data and the analytical tools that were used to calculate the
market value of all securities in the City and the RDA investment portfolios. State and Local Government Series securities
are held in escrow accounts and are therefore not included in this report as assets. All balances are bank balances.
Respectfully submitted on 28 March 2006,
pau 5.. Qo CCA1.7
City Treasurer
CA Govt
Code
53601(a
.53(1
53601(c)
53601(d)
53601(1)
53601(m)
f
SUMMARY OF AUTHORIZED INVESTMENTS
California Government Code
City Investment Policy
Maximum Maximum Quality Maximum Maximum Quality % of City % of RDA
Investment Category Maturity Limit S&P/Mdys Maturity Limit S&P/Mdys Portfolio Portfolio
Palm Desert Bonds
t ri S
CA State Debt
CA Local Agency Debt
Trust Indenture Debt
Secured Bank Deposits
5 Years No Limit
Years
5 Years
5 Years
IvOP.1
No Limit
No Limit
vestment �aoas.:n { :,.,v Days:; 20gfo ar AdvaA
53601(n) Mortgage -Backed 5 Years 20% A (Issuer) &
Securities AA (Security
1 ;. Lath. No, Limit ,.1.._.. .. �z � .. : _ ..., .. ._ -I Np;Limit I. ":, ���°lr. .'�3T<3 a
(1) The City loan to RDA, which is not a bond, has been approved by the Palm Desert City Council � 76.8% I 100.0%
(2) Maximum limit for mutual funds and local government investment pools, excluding bond proceeds.
Not Authorized (1)
Not Authorized
Not Authorized
AAA
Not Authorized
Not Authorized
u1
Not Authorized
* Certified California Municipal Treasurer
Page 8 of 8