HomeMy WebLinkAboutPortfolio Management Summary - March 2004City of Palm Desert
City and Redevelopment Agency Portfolios
COMPLIANCE ANALYSIS AND INVESTMENT REPORT
March 2004
Paul S. Gibson, C.C.M.T., Treasurer
Thomas W. Jeffrey, J.D., M.B.A., Deputy City Treasurer
Treasurer's Commentary
The Federal Open Market Committee (FOMC) will next meet on 4 May to review short-term interest rates.
Retail sales and hiring increased significantly in March, suggesting that the U.S. economy is now growing on its own, as the
favorable effects of tax cuts and low mortgage rates begin to ebb. Core consumer prices and the Consumer Price Index also
surged during the same period, however, leading some economists to believe that the FOMC may raise short-term interest
rates as early as August in order to dampen inflation. The Federal Funds futures market has priced in a 0.75% increase
in short-term interest rates during 2004.
Energy prices, in particular, have risen sharply over the last few weeks. Gasoline is expected to peak at $3.00 per gallon in
California during the summer. Inflationary expectations have influenced mortgage rates, which have risen from 5.5% to 6.0%
over the last month. If they continue to rise, then they may put downward pressure on housing prices.
The FOMC appears to have linked interest rate hikes to the amount of excess capacity. Chairman Greenspan has said that
the unemployment rate (currently 5.7%) could go as low as 4% before wage pressures would emerge. Similarly, the FOMC
has not increased interest rates when the capacity utilization rate (currently 76.5%) has been below 82%.
Pas 6.4-6-jon, C. c. A./ 7
Treasurer
Dollars in Thousands
CITY
Month -End Book Value*** $ 126,691 $ 124,938 $ 127,837 $ 132,836 $ 132,138 $ 134,142
Month -End Market Value*** $ 127,019 $ 125,243 $ 128,091 $ 133,087 $ 132,214 $ 134,231
Paper Gain (Loss) $ 328 $ 305 $ 254 $ 251 $ 76 $ 89
Prior Year Book Variance $ (28,114) $ (39,878) $ (46,315) $ (3,851) $ (10,382) $ (9,912)
Interest Earnings $ 161 $ 143 $ 168 $ 172 $ 169 $ 175
Yield -To -Maturity 1.56% 1.58% 1.58% 1.58% 1.61% 1.61%
Weighted Maturity (Days) 119 111 100 92 94 94
Effective Duration 0.22 0.21 0.18 0.16 0.17
0.17
RDA
Month -End Book Value *** $ 163,515 $ 164,571 $ 163,130 $ 141,723 $ 144,184 $ 144,220
Month -End Market Value*** $ 165,671 $ 166,715 $ 165,294 $ 143,881 $ 146,322 $ 146,360
Paper Gain (Loss) $ 2,156 $ 2,144 $ 2,164 $ 2,158 $ 2,138 $ 2,140
Prior Year Book Variance $ 58,734 $ 60,901 $ 58,107 $ 48,9136 $ 51,423 $ 49,336
Interest Earnings $ 174 $ 154 $ 151 $ 159 $ 155 $ 162 Yield -To -Maturity 1.20% 1.20% 1.24% 1.29% 1.29% 1.30%
Weighted Maturity (Days) 91 93 91 89 87
87 Effective Duration
0.04 0.06 0.06 0.03 0.03 0.04
PORTFOLIO STATISTICS
MAR-04 FEB-04 JAN-04 DEC-03 NOV-03 OCT-03
Omits SLGSs.
City of Palm Desert -- Portfolio Characteristics
31 March 2004
Dollars in Thousands
Ageing Interval Market Value
< 1 M $ 65,352
< 2M -
< 3M -
< 6M 12,083
< 1YR 9,718
< 2YR
< 3YR -
< 4YR 6,012
< 5YR -
> 5YR
Total: $ 93,165
Ratings *
Aaa
Unrated **
Aa
A
Al/P1
Total:
Market Value
$ 14,934
85.956
7,219
10,596
5.004
$ 123,709
'General Fund Ageing)
Portfolio (%)
100
80
60 -
40 -
20 -
70
0 0
10
(�1 n
13
0
<1M <2M <3M <6M <1YR <2YR
Credit Quality)
Sector Market Value
Money Market Funds $ 23,116
LAIF 40,000
RDA Loan 32,785
MTNs 20,299
U.S. Treasury
Federal Agency 2,505
Commercial Paper 5,004
Total: $ 123,709
Month Citv Yield LAIF Yield Variance
Apr03 1.45 1.86 -0.41
May 1.62 1.77 -0.15
Jun 1.58 1.70 -0.12
Jul 1.46 1.65 -0.20
Aug 1.43 1.63 -0.20
Sep 1.62 1.64 -0.01
Oct 1.61 1.60 0.01
Nov 1.61 1.57 0.03
Dec 1.58 1.55 0.03
Jan04 1.58 1.53 0.05
Feb 1.58 1.44 0.14
Mar 1.56 1.47 0.09
Aaa
13%
A
10%
Unrated **
77%
(D Aa
0%
'Asset Allocation
LAIF
Money Market
Funds
20%
MTNs
17%
RDA Loan
28%
Performance'
2.9
2.5 -
a 2.1 -
m
>-
1.7 m j�
1.3 1Pt Ch
.' 1 r Ella)
111 E1 rihri L 1
Apr03 May Jun Jul Aug Sep Oct Nov Dec Jan04 Feb Mar
J
* Moody's Credit Ratings
** LAIF, and City Loan to RDA Page 2 of 7
Par Value
Issuer
Medium -Term Notes
$ 2,355,000 CHEVRON -TEXACO
$ 3,000,000 FORD
$ 2,500,000 FORD
$ 2,500,000
$ 2,000,000
$ 2,425,000
$ 2,360,000
$ 1,270,000
1,000,000
FORD
FORD
GENERAL ELECTRIC
NORTHERN TRUST
PITNEY BOWES
WACHOVIA
Commercial Paper -- Discount
$ 2,510,000 CITIGROUP
$ 2,517,000 GENERAL ELECTRIC
Federal Agencies -- Discount
$ 2,513,000 FED NATIONAL MTG ASSOC 1.06
1.05
City of Palm Desert
Portfolio Holdings
31 March 2004
Coupon
6.63
7.20
7.20
7.50
6.70
4.25
6.65
5.95
7.70
Maturity
10/1/04
6/15/07
6/15/07
6/15/04
7/16/04
1/28/05
11/9/04
2/1/05
2/15/05
Cost
8/12/04 $
1.06 9/15/04 $
LGIP
$ 40,000,000
LGIP
$ 13,170,123
$ 13,170,123
Pooled Funds -- AIM
$ 9,946,064 PRIME PORTFOLIO
L.A.I.F.
C.A.M.P.
Subtotal
City Loan to RDA
$ 32,785,480 CITY OF PALM DESERT
Total Investments
$ 122,851,667
NR = Not Rated
0.00
0.00
0.00
0.00
4/1/04
4/1/04 5 13,170,123 0.92 100.00 $ 13,170,123 NR
$ 13,170,123 0.92
2,419,261
3,122,549
2,602,124
2,523,403
2,020,030
2,483,367
2,437, 739
1,318,480
1,054,535
Market
® Price -■
1.13
5.75
5.75
2.84
3.17
1.30
1.17
1.32
1.38
102.67 $
109.78 $
109.78 $
101.20 $
101.45 $
102.41 $
103.19 $
103.25 $
105.45 $
2,417, 775
3,293,343
2,744,453
2,529,995
2,029,068
2,483,336
2,435,206
1,311,274
1,054,456
Ratings
Moodys
Aa2
A3
A3
A3
A3
Aaa
Aa3
Aa3
Aa3
2,498,140 1.07 99.60 $ 2,500,003 P-1
2,499,880 1.10 99.47 $ 2,503,727 P-1
2,499,670 1.08 99.67 $ 2,504,707 Aaa
40,000,000 1.47 100.00 $ 40,000,000 NR
All nnw ww- -
4/1/04
4/ 1 /34
$ 13,170,123
9,946,064 0.63 100.00 $ 9,946,064 Aaa
32,785,480 1.47 100.00 $ 32,785,480 NR
$ 123,380,845 1.56
$ 123,709,010
Page 3 of 7
City of Palm Desert
Portfolio Holdings
31 March 2004
IPar Value
Issuer 1 Coupon 1 Maturity I Cost
Market Ratings
Price I Value I
Moody's
J
Cash
$ 2,443,927 CITY MAIN CHKG 0.00 4/1/04 $ 2,443,927 N/A 100.00 $ 2,443,927 NR
$ 323,643 DESERT WILLOW CHKG 0.00 4/1/04 $ 323,643 N/A 100.00 $ 323,643 NR
$ 23,003 OFFICE COMPLEX TRUST 0.00 4/1/04 $ 23,003 N/A 100.00 $ 23,003 NR
$ 389,010 RECREATIONAL FAC CHKG 0.00 4/1/04 $ 389,010 N/A 100.00 $ 389,010 NR
$ 3,179,584 Subtotal $ 3,179,584 $ 3,179,584
Total Investments and Cash
$ 126,031,251
$ 126,560,429
$ 126,888,594
NR = Not Rated
Page 4 of 7
Dollars in Thousands
Ageing Interval
<1M
< 2M
< 3M
< 6M
< 1YR
< 2YR
< 3YR
< 4YR
< 5YR
> 5YR
Total:
Palm Desert Redevelopment Agency Portfolio Characteristics
31 March 2004
Market Value
$ 94,318
3,002
3.995
13,618
i
Portfolio Ageing w/o SLGSsI
Portfolio (%)
100
90 -
80 -
70 -
60 -
50 -
40 -
30 -
20 -
10 - 3
0
82
114,933 <1M <2M
Credit Quality'
Quality* Market Value
Aaa $ 62,109
Unrated ** 90.621
Aa -
A
Al/P1 10.511
Total: $ 163,241
Sector Market Value
U.S. Treasury $ 7,117
Money Market Funds 79,125
LAIF . 60,985
Federal Agency 5.503
Commercial Paper 10,511
Corporate Bonds
Total: $ 163,241
Month RDA Yield LAIF Yield Variance
Apr03 1.74 1.86 -0.12
May 1.71 1.77 -0.06
Jun 1.71 1.70 0.01
Jul 1.56 1.65 -0.09
Aug 1.36 1.63 -0.27
Sep 1.28 1.64 -0.36
Oct 1.30 1.60 - -0.30
Nov 1.29 1.57 -0.28
Dec 1.29 1.55 -0.25
Jan04 1.24 1.53 -0.29
Feb 1.20 1.44 -0.24
Mar 1.20 1.47 -0.28
12
3 1 ► 0
1
< 3M < 6M < 1 YR
0 0 0
<2YR < 3YR < 4YR
Aaa
41%
Unrated *"
59%
Asset Allocation
U.S. Treasury
5%
Money Market
Funds
54%
LAI F
41%
Performance)
2.1
1.1 -
1
Apr03May Jun Jul Aug Sep Oct Nov DecJan04Feb Mar
O LAIF Yield 0 RDA Yield
* Moody's Credit Ratings
** LAIF Page 5 of 7
IPar Value
Commercial Paper -
$ 3,008,000
$ 3,021,000
$ 2,008,000
$ 2,500,000
$ 10,537,000
Issuer
- Discount
CITIGROUP
GENERAL ELECTRIC
TOYOTA
WELLS FARGO BANK
Palm Desert Redevelopment Agency
Portfolio Characteristics
31 March 2004
Coupon Maturity
1.04 5/10/04 $
1.10 9/22/04 $
1.01 6/23/04 $
0.99 4/22/04 $
Subtotal
Market I Ratings
Cost YTM Price Value Moodys
2,999,223
2,999,215
1,999,831
2,494,294
1.06
1.14
1.03
1.01
10,492,564 1.06
99.89 $
99.45 $
99.76 $
99.94 $
U.S. Treasury -- Discount
$ 7,143,000 UNITED STATES TREASURY 4.59
$ 7,143,000
Subtotal
3,004,624
3,004,405
2,003,080
2,498,457
10,510,567
P-1
P-1
P-1
P-1
8/15/04 $ 4,989,671 5.54 99.64 $ 7,117,036 Aaa
4,989,671 5.54
Federal Agency -- Discount
$ 2,000,000 FED NATIONAL MTG ASSOC
$ 3,523,000 FED NATIONAL MTG ASSOC
$ 5,523,000
LGIPs
$ 40,000,000
$ 6,226,680
$ 9,749,381
$ 5,009,039
I $ 60,985,099
LGIP
$ 29,635,942
$ 29,635,942
Subtotal
L.A.I.F.
L.A.I.F. (HOUSING)
L.A.I.F. BOND PROCEEDS
L.A.I.F. BOND PROCEEDS
Subtotal
C.A.M.P.
Subtotal
1.02 6/23/04 $ 1,991,783 1.04 99.77
1.10 9/3/04 $ 3,499,963 1.14 99.56 $ 3,507,499 Aaa
7,117,036
1
0.00 4/1/04
0.00 4/1/04
0.00 4/1/04
0.00 4/1/04
5,491,747 1.10
$ 40,000,000
$ 6,226,680
$ 9,749,381
$ 5,009,039
1.47
1.47
1.47
1.47
60,985,099 1.47
100.00 $
100.00 $
100.00 $
100.00 $
1,995,400 Aaa
5,502,899
40,000,000
6,226,680
9,749,381
5,009,039
60,985,099
NR
NR
NR
NR
0.00 4/1/04 $ 29,635,942 0.92 100.00 $ 29,635,942 NR
$ 29,635,942 0.92
Pooled Funds -- AIM
$ 49,489,152 PRIME PORTFOLIO
$ 49,489,152
Subtotal
$ 29,635,942
0.00 4/1/04 $ 49,489,152 0.63 100.00 $ 49,489,152 Aaa
$ 49,489,152 0.63
Total Investments
$ 163,313,193
Cash
$ 2,111,513
$ 318,814
$ 2,430,326
HOUSING AUTH CHKG
HOUSING AUTH TRUST
Subtotal
0.00 4/1/04
$ 161,084,175 1.20
$ 49,489,152
$ 163,240,695
2,111,513 N/A 100.00 $
0.00 4/1/04 $ 318,814 N/A 100.00 $
2,430,326
Total Investments and Cash
$ 165,743,520
$ 163,514,501
2,111,513 NR
318,814 NR
2,430,326
$ 165,671,021
1
NR = Not Rated
Page 6 of 7
STATEMENT OF COMPLIANCE
The investment portfolios of the City of Palm Desert ("City") and the Palm Desert Redevelopment Agency ("RDA")
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 31 March 2004, the City and the RDA investment portfolios were in compliance with all applicable
federal, state, and local laws and regulations. The CityTreasury 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 Cityand 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 April 2004,
Pa cZ ./;Irn;
City Treasurer
CA Govt
Code Investment Category
53601(a)
53601(b)
53601(c)
53601(d)
53601(e)
53601(f)
53601(g)
53601(h)
53601(i)
53601(i)
53601(j)
53601(k)
53601(1)
53601(m)
53601(k)
53601(n)
16429
Palm Desert Bonds
CA State Debt
CA Local Agency Debt
Federal Agencies
Bankers's Acceptances
Commercial Paper
Negotiable CDs
Repos
Reverse Repos
Medium -Term Notes
Mutual Funds
Trust Indenture Debt
Secured Bank Deposits
Local Government
Investment Pools
Mortgage -Backed
Securities
SUMMARY OF AUTHORIZED INVESTMENTS
California Government Code
Maximum Maximum Quality
Maturity Limit S&P/Mdys
180 Days
270 Days
92 Days
90 Days
90 Days
No Limit
No Limit
No Limit
No Limit
No Limit
No Limit
No Limit
A-1+ or P-1
AAA & Aaa
AAA & Aaa
or Advisor
Maximum
Maturity
180 Days
270 Days
30 Days
90 Days
90 Days
City Investment Policy
Maximum Quality % of City % of RDA
Limit S&P/Mdys Portfolio Portfolio
Not Authorized (1)
No Limit
20% (2)
20% (2)
No Limit -- No Limit
(1) The City loan to RDA, which is not a bond, has been approved by the Palm Desert City Council.
(2) Maximum limit for mutual funds and local government investment pools, excluding bond proceeds.
Not Authorized
Not Authorized
A-1 & P-1
A-1+ or P-1
AA- or Aa3
AAA & Aaa
Not Authorized
Not Authorized
Not Authorized
AAA & Aaa
or Advisor
Not Authorized
Certified California Municipal Treasurer
32.4%
100.0%
Page 7 of 7