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Home My WebLink AboutInvestment Reports - March 2006CITY OF PALM DESERT FINANCE DEPARTMENT INTEROFFICE MEMORANDUM TO: RACHELLE KLASSEN, CITY CLERK FROM: NIAMH ORTEGA, RECORDING SECRETARYN," DATE: APRIL 27, 2006 SUBJECT: COMPLIANCE ANALYSIS AND INVESTMENT REPORTS Please find attached the Compliance Analysis and Investment Reports for Mach 2006 which were presented and approved at the meeting of April 25, 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) GARnanceftamh Ortega\Wpdocsllnvestment CommitteelMemoskklasseninvreport012605.wpd ` x ,G^rdel±_eo+t~ilg@ tKr 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 met on March 28, and raised the Federal Funds Rate by 25 basis points to 4.75 percent. This was the 15th consecutive increase. The FOMC commented that although economic growth had rebounded strongly in the first quarter, it would probably slow to a more sustainable pace in subsequent quarters. While inflation remained contained, the FOMC continued to monitor energy and commodity prices in case they begin to add to inflationary pressures. The next FOMC meeting will be on May 10. It is expected that the FOMC will make one final rate increase to five percent, and then pause and assess. The FOMC will, most likely, begin to cut the Federal Funds Rate in early 2007 as the economy slows. The current forecast is that Gross Domestic Product (GDP) will grow by 3.3 percent in 2006, and by 2.5 percent in 2007. (GDP grew by 3.5 percent in 2005). Housing is expected to slow early in 2006, with growth turning negative as early as the current quarter. The effects are already visible in the form of fewer mortgage applications, and higher levels of inventory. Business fixed investment is expected to remain solid during the 2006-2007 forecast period. Merrill Lynch believes that the FOMC will make four rate cuts in the next cycle, bringing the Federal Funds Rate down to four percent. Pis ti6No7,il, c.C.Al� r. Treasurer PORTFOLIO STATISTICS Dollars in Thousands MAR-06 FEB-06 JAN-06 DEC-05 NOV-05 OCT-05 CITY Month -End Book Value"* $ 149,944 $ 147,007 $ 147,649 $ 143,187 $ 146,910 $ 148,655 Month -End Market Value— $ 149,118 $ 146,312 $ 146,991 $ 142,231 $ 145,957 $ 148,157 Paper Gain (Loss) $ (826) $ (695) $ (658) $ (956) $ (953) $ (498) Prior Year Book Variance $ 3,087 $ 4,320 $ 7,431 $ 18,463 $ 18,308 $ 18,105 Interest Earnings $ 513 $ 476 $ 454 $ 460 $ 440 $ 444 Yield -To -Maturity 4.38% 4.31 % 4.06% 3.95% 3.81 % 3.67% Weighted Maturity (Days) 415 414 210 215 215 214 Effective Duration 0.73 0.76 0.27 0.29 0.31 0.33 RDA Month -End Book Value'"" $ 149,459 $ 153,652 $ 151,779 $ 125,395 $ 121,211 $ 123,243 Month -End Market Value'" $ 148,888 $ 153,233 $ 151,479 $ 124,957 $ 120,754 $ 122,833 Paper Gain (Loss) $ (571) $ (419) $ (300) $ (438) $ (457) $ (410) Prior Year Book Variance $ (8,865) $ (5,453) $ (8,781) $ (22,407) $ (27,519) $ (25,906) Interest Earnings $ 553 $ 494 $ 435 $ 385 $ 361 $ 350 Yield -To -Maturity 4.38% 4.26% 3.99% 3.82% 3.68% 3.54% Weighted Maturity (Days) 410 415 128 153 158 156 Effective Duration 0.86 0.86 0.15 0.20 0.23 0.25 "` Omits SLGSs. City of Palm Desert -- Portfolio Characteristics 31 March 2006 Dollars in Thousands Ageinq Interval Market Value < 1 M $ 41,213 < 2M - < 3M - < 6M 2,972 < 1 YR 7,881 < 2YR 14,227 < 3YR 12,826 < 4YR 12,955 < 5YR - > 5YR - Total: $ 92,074 Ratings * Market Value AAA $ 60,665 AA $ 2,097 A $ 6,002 Unrated '* 60,185 1313- 9,979 Total: $ 138,928 Sector MMFs LAIF RDA Loan MTNs Agencies CID Total: Market Value $ 19,969 27,400 32,785 21,972 36,802 $ 138,928 Month Citv Yield LAIF Yield Apr05 2.94 2.72 May 3.06 2.86 Jun 3.29 2.97 Jul 3.37 3.08 Aug 3.43 3.18 Sep 3.56 3.32 Oct 3.67 3.46 Nov 3.81 3.64 Dec 3.95 3.81 Jan06 4.06 3.96 Feb 4.31 4.04 Mar 4.38 4.14 General Fund Ageing 100 80 e 0 60 45 t, 40 0 a 20 9 15 14 0 0 3 n 0 ^ < 1 M < 2M < 3M < 6M < 1 YR < 2YR < 3YR Credit Quality AAA 44% AA 2% BB- A 7% 4% Unrated '* 43% Asset Allocation RDA Loan 24% LAW MTNs 20% 16% MMFs Agencies 14% 26% Variance Performance 0.21 0.21 4.6 0.32 0.29 4.1 0.25 0.24 2 3.6 0.21 } 3.1 0.17 0.14 ! 2.6 0.10 Apr05 May Jun Jul Aug Sep Oct Nov Dec Jan06 Feb Mar 0.27 0.23 M LAIF Yield ® City Yield * Standard and Poors *' LAIF, and City Loan to RDA Page 2 of 8 City of Palm Desert Portfolio Holdings 31 March 2006 Market Ratings Par Value Issuer Coupons Maturity Cost YTM I Price Value Moody'sI S&P Medium -Term Notes $ 3,000,000 BANK ONE 4.13 9/1 /07 $ 3,019,440 3.64 98.35 $ 2,950,554 Aa3 A+ $ 3,000,000 FORD MOTOR CREDIT CORP 7.20 6/15/07 $ 3,046,089 5.75 98.68 $ 2,960,550 Ba2 BB- $ 2,500,000 FORD MOTOR CREDIT CORP 7.20 6115/07 $ 2,538,407 5.75 98.68 $ 2,467,125 Ba2 BB- $ 4,612,000 FORD MOTOR CREDIT CORP 7.20 6/15/07 $ 4,720,446 5.10 98.68 $ 4,551,352 Ba2 BB- $ 2,000,000 GENERAL ELECTRIC 3.13 11/9/06 $ 1,990,682 3.92 98.77 $ 1,975,382 Aaa AAA $ 2,000,000 GENERAL ELECTRIC 3.60 10/15/08 $ 1,934,597 4.99 95.96 $ 1,919,290 Aaa AAA $ 3,000,000 GOLDMAN SACHS 7.20 3/1/07 $ 3,097,217 3.50 101.70 $ 3,050,976 Aa3 A+ $ 2,000,000 WAL-MART 6.88 8/10/09 $ 2,118,655 4.93 104.84 $ 2,096,888 Aa2 AA $ 22,112,000 Subtotal $ 22,465,532 4.72 $ 21,972,117 Federal Agencies -- Coupon $ 3,000,000 FED HOME LOAN BANK 3.70 8/15/07 $ 2,996,374 3.79 98.16 $ 2,944,688 Aaa AAA $ 1,500,000 FED HOME LOAN BANK 2.10 10/13/06 $ 1,486,912 3.79 98.44 $ 1,476,563 Aaa AAA $ 3,000,000 FED HOME LOAN BANK 4.38 9/11/09 $ 2,953,421 5.59 97.50 $ 2,925,000 Aaa AAA $ 1,980,000 FED HOME LOAN BANK 4.75 12/12/08 $ 1,973,316 4.87 99.16 $ 1,963,294 Aaa AAA $ 3,000,000 FED HOME LOAN BANK 4.63 9/12/08 $ 2,983,361 5.40 99.03 $ 2,970,938 Aaa AAA $ 2,049,000 FED HOME LOAN BANK 4.00 12/15/09 $ 1,989,568 4.87 96.19 $ 1,970,882 Aaa AAA $ 2,035,000 FED HOME LOAN MTG CORP 2.50 12/4/06 $ 2,017,247 3.84 98.28 $ 2,000,023 Aaa AAA $ 2,033,000 FED HOME LOAN MTG CORP 4,25 7/15/09 $ 1,995,250 4.87 97.38 $ 1,979,634 Aaa AAA $ 2,000,000 FED HOME LOAN MTG CORP 4.13 11/18/09 $ 1,950,353 4.88 96.68 $ 1,933,536 Aaa AAA $ 2,000,000 FED HOME LOAN MTG CORP 4.90 11/3/08 $ 1,992,312 5.06 99.10 $ 1,982,094 Aaa AAA $ 2,786,000 FED NATIONAL MTG ASSOC 7.13 3/15/07 $ 2,877,292 3.55 101.81 $ 2,836,496 Aaa AAA $ 3,000,000 FED NATIONAL MTG ASSOC 3.00 8115107 $ 2,975,817 3.63 97.25 $ 2,917,500 Aaa AAA $ 3,000,000 FED NATIONAL MTG ASSOC 2.75 8/11/06 $ 2,988,795 3.81 99.22 $ 2,976,563 Aaa AAA $ 2,000,000 FED NATIONAL MTG ASSOC 4.63 10/28/09 $ 1,983,365 4.88 98.31 $ 1,966,250 Aaa AAA $ 33,383,000 Subtotal $ 33,163,383 4.46 $ 32,843,459 Federal Agencies - Callable $ 2,000,000 FED HOME LOAN BANK 4.20 7/18/08 $ 1,970,923 4.88 98.16 $ 1,963,125 Aaa AAA $ 2,000,000 FED HOME LOAN MTG CORP 5.05 8/22/08 $ 1,999,402 5.06 99.76 $ 1,995,246 Aaa AAA $ 4,000,000 Subtotal $ 3,970,326 4.97 $ 3,958,371 Local Government Investment Pool $ 27,400,000 L.A.I.F. 0.00 4/1106 $ 27,400,000 4.14 100.00 $ 27,400,000 U U $ 27,400,000 Subtotal $ 27,400,000 4.14 $ 27,400,000 Local Government Investment Pool $ 10,539,002 C.A.M.P. $ 10,539,002 Subtotal 0.00 4/1/06 $ 10,539,002 4.46 100.00 $ 10,539,002 U AAA $ 10,539,002 4.46 $ 10,539,002 1 "NR" = Not Rated Page 3 of 8 City of Palm Desert Portfolio Holdings 31 March 2006 Market Ratings Par Value Issuer Coupons Maturity Cost I YTM I Price I Value Moody'sl S& Money Market Fund $ 9,429,790 WF ADVANTAGE GOUT MMF 0.00 4/1/06 $ 9,429,790 4.43 100.00 $ 9,429,790 Aaa AAA $ 9,429,790 Subtotal $ 9,429,790 4.43 $ 9,429,790 City Loan to RDA $ 32,785,480 CITY OF PALM DESERT 0.00 4/1/36 $ 32,785,480 4.14 100.00 $ 32,785,480 U U $ 32,785,480 Subtotal $ 32,785,480 4.14 $ 32,785,480 Total Investments $ 139,649,272 $ 139,753,513 4.38 $ 138,928,220 Cash $ 8,173,294 CITY MAIN CHKG 0.00 4/1/06 $ 8,173,294 0.00 100.00 $ 8,173,294 N/A N/A $ 904,606 DESERT WILLOW CHKG 0.00 4/1/06 $ 904,606 0.00 100.00 $ 904,606 N/A N/A $ 626,263 MONTEREY 170 CHKG 0.00 4/1/06 $ 626,263 0.00 100.00 $ 626,263 N/A N/A $ 346,735 RECREATIONAL FAC CHKG 0.00 4/1/06 $ 346,735 0.00 100.00 $ 346,735 N/A N/A $ 10,050,898 Subtotal $ 10,050,898 $ 10,050,898 Total Investments and Cash $ 149,700,171 $ 149,804,411 $ 148,979,118 Corporate Issuers FORD MOTOR CREDIT CORPORATION GENERAL ELECTRIC CAPITAL CORPORATION GOLDMAN SACHS BANK ONE WAL-MART % of Portfolio (Market Value) 6.70% 2.61 % 2.05% 1.98% 1.41 % "NR" = Not Rated Page 4 of 8 Dollars in Thousands Apeina Interval < 1 M < 2M < 3M < 6M < 1 YR < 2YR < 3YR < 4YR < 5YR > 5YR Total: ualit " AAA AA A Unrated BB - Total: Sector LAW MMFs Agencies MTNs CP Treasuries Total: Month Apr05 May Jun Jul Aug Sep Oct Nov Dec Jan06 Feb Mar Palm Desert Redevelopment Agency - Portfolio Characteristics 31 March 2006 Market Value $ 48,806 5,909 8,894 5,834 21,649 18,703 $ 109,795 Market Value $ 85,113 $ 1,946 $ 2,028 55,414 2,989 $ 147,490 Market Value $ 55,415 31,243 53,870 6,962 Portfolio Ageing w/o SLGSsI 1 100 90 80 0 70 ° 60 4 4 0 50 0 40 a 30 20 20 5 10 0 0 8 5 (1177 o ^ n I I I I < 1 M < 2M < 3M < 6M lI\ < 1 YR < 2YR < 3YR < 4YR J Credit Quality i Asset Allocation) 1 AA AAA 1% 58% A 1% BB- iUnrated " 2% 38% LAIF 37% MTP kgencies 37% $ 147,490 0 %o RDA Yield LAIF Yield Variance Performance) 1 2.80 2.72 0.08 2.93 2.86 0.07 4.6 3.09 2.97 0.13 3.21 3.08 0.13 4.1 I 3.32 3.18 0.14 0 3.42 3.32 0.10 2 3.6 3.54 3.46 0.08 } 3.1 3.68 3.64 0.04 3.82 3.81 0.01 2.6 3.99 3.96 0.03 Apr05 May Jun Jul Aug Sep Oct Nov Dec Jan06 Feb Mar 4.26 4.04 0.22 4.38 4.14 0.24 0 LAIF Yield ■ RDA Yield Standard and Poors " LAIF Page 5 of 8 Palm Desert Redevelopment Agency Portfolio Holdings 31 March 2006 Market Ratings Par Value Issuer Coupon Maturity Cost YTMI Price Value I Moody'sI S&P Medium -Term Notes $ 3,000,000 FORD MOTOR CREDIT CORP 6.50 1/25/07 $ 3,037,984 4.85 99.62 $ 2,988,516 Ba2 BB- $ 2,000,000 FIRST UNION NAT BANK 5.80 12/1/08 $ 2,039,190 5.00 101.38 $ 2,027,562 Aa3 A+ $ 2,000,000 WELLS FARGO BANK 4.00 8/15/08 $ 1,957,630 4.96 97.30 $ 1,946,014 Aal AA- $ 7,000,000 Subtotal $ 7,034,804 4.93 $ 6,962,092 Federal Agency -- Coupon $ 3,000,000 FED FARM CREDIT BANK 2.63 9/17/07 $ 2,966,097 3.43 96.63 $ 2,898,750 Aaa AAA $ 2,000,000 FED FARM CREDIT BANK 6.45 10/7/09 $ 2,099,821 4.88 104.10 $ 2,081,932 Aaa AAA $ 2,000,000 FED FARM CREDIT BANK 3.63 10/24/08 $ 1,940,007 4.89 96.63 $ 1,932,500 Aaa AAA $ 2,000,000 FED FARM CREDIT BANK 4.75 8/3/09 $ 1,992,683 4.87 98.97 $ 1,979,375 Aaa AAA $ 3,000,000 FED HOME LOAN BANK 3.38 9/14/07 $ 2,995,994 3.82 97.66 $ 2,929,688 Aaa AAA $ 3,970,000 FED HOME LOAN BANK 4.25 9/12/08 $ 3,914,604 4.79 98.19 $ 3,898,044 Aaa AAA $ 3,970,000 FED HOME LOAN BANK 4.25 9/12/08 $ 3,914,604 4.79 98.19 $ 3,898,044 Aaa AAA $ 4,500,000 FED HOME LOAN BANK 4.38 9/11/09 $ 4,430,131 5.59 97.50 $ 4,387,500 Aaa AAA $ 2,000,000 FED HOME LOAN BANK 3.50 11/3/09 $ 1,910,338 4.88 94.56 $ 1,891,250 Aaa AAA $ 4,000,000 FED HOME LOAN BANK 4.63 9/12/08 $ 3,977,815 4.84 99.03 $ 3,961,250 Aaa AAA $ 2,005,000 FED HOME LOAN BANK 3.88 7/24/09 $ 1,943,665 4.89 96.09 $ 1,926,680 Aaa AAA $ 3,000,000 FED HOME LOAN MTG CORP 4.88 3/15/07 $ 3,040,938 3.38 99.75 $ 2,992,500 Aaa AAA $ 2,974,000 FED HOME LOAN MTG CORP 3.63 9/15/06 $ 2,974,400 3.60 99.38 $ 2,955,413 Aaa AAA $ 2,974,000 FED HOME LOAN MTG CORP 3.63 9/15/06 $ 2,974,474 3.60 99.38 $ 2,955,413 Aaa AAA $ 2,049,000 FED HOME LOAN MTG CORP 4.00 12/15/09 $ 1,989,363 4.87 96.19 $ 1,970,882 Aaa AAA $ 2,000,000 FED HOME LOAN MTG CORP 5.00 7/23108 $ 1,997,062 5.07 99.60 $ 1,991,944 Aaa AAA $ 2,973,000 FED NATIONAL MTG ASSOC 3.63 3/15/07 $ 2,974,988 3.95 98.63 $ 2,932,121 Aaa AAA $ 4,155,000 FED NATIONAL MTG ASSOC 6.63 9/15/09 $ 4,380,487 4.89 104.63 $ 4,347,169 Aaa AAA $ 2,000,000 FED NATIONAL MTG ASSOC 3.88 11/17/08 $ 1,951,516 4.87 96.97 $ 1,939,375 Aaa AAA $ 54,570,000 Subtotal $ 54,368,988 4.52 $ 53,869,828 Local Government Investment Pool $ 35,600,000 L.A.I.F. 0.00 4/1/06 $ 35,600,000 4.14 100.00 $ 35,600,000 U U $ 5,902,251 L.A.I.F. (HOUSING AUTH) 0.00 4/1/06 $ 5,902,251 4.14 100.00 $ 5,902,251 U U $ 13,912,279 L.A.I.F. BOND PROCEEDS 0.00 4/1/06 $ 13,912,279 4.14 100.00 $ 13,912,279 U U $ 55,414,530 Subtotal $ 55,414,530 4.14 $ 55,414,530 Local Government Investment Pool $ 8,434,521 C.A.M.P. 0.00 4/1/06 $ 8,434,521 4.46 100.00 $ 8,434,521 U AAA $ 8,434,521 Subtotal $ 8,434,521 4.46 $ 8,434,521 Money Market Fund $ 22,809,215 WF ADVANTAGE GOVT MMF 0.00 4/1/06 $ 22,809,215 4.43 100.00 $ 22,809,215 Aaa AAA $ 22,809,215 Subtotal $ 22,809,215 4.43 $ 22,809,215 "NR" = Not Rated Page 6 of 8 Palm Desert Redevelopment Agency Portfolio Holdings 31 March 2006 Par Value I Issuer Total Investments $ 148,228,266 Cash $ 916,314 HOUSING AUTH CHKG $ 338,082 HOUSING AUTH TRUST $ 1,254,396 Subtotal Total Investments and Cash $ 149,482,662 Market Coupon I Maturity Cost YTM I Price Value $ 148,062,058 4.38 $ 147,490,186 Ratings Moody's I S&P 0.00 4/1/06 $ 916,314 0.00 100.00 $ 916,314 N/A 0.00 4/1/06 $ 338,082 0.00 100.00 $ 338,082 N/A $ 1,254,396 $ 1,254,396 Corporate Issuers FORD MOTOR CREDIT CORPORATION FIRST UNION NAT BANK WELLS FARGO BANK $ 149,316,453 % of Portfolio (Market Value) 2.01 % 1.36% 1.31 % $ 148,744,581 N/A N/A "NR" = Not Rated 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 31 March 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 25 April 2006, Pis C. C..R r. City Treasurer SUMMARY OF AUTHORIZED INVESTMENTS I California Government Code I City Investment Policy CA Govt Maximum Maximum Quality Maximum Maximum Quality % of City % of RDA Code Investment Category Maturity Limit S&P/Mdys Maturity Limit S&P/Mdys Portfolio Portfolio 53601(a) Palm Desert Bonds 5 Years No Limit Not Authorized (1) 53601(b) U.S: Treasuries 5 Years No Limit 5 Years No Limit I 1 0.0% 0.0% 53601(c) CA State Debt 5 Years No Limit Not Authorized 53601(d) CA Local Agency Debt 5 Years No Limit Not Authorized 53601(e) Federal- Agencies 5 Years, No Limit 5 Years 30% 6% 26.6% 36.7% 53601(f) Bankers's Acceptances 180 Days 40% 180 Days 40% A-1- 53601(g) Commercial Paper 1270 Days 25% A-1+ or P-1 270 Days 25% A-1+ or PA 0.0% 0.0% 53601(h) Negotiable CDs 5 Years 30% 5 Years 30% AA --or Aa3 - - 53601(i) Repos 1 Year No Limit 30 Days 20% AAA & Aaa - - 53601(i) Reverse Repos 92 Days 20% Not Authorized 53601(j) Medium -Term Notes. .5 Years 0 30% A 5 Years 0 30 /o A 0 16.1 /a 0 4.8 /o 53601(k) Mutual Funds 90 Days 20% AAA & Aaa 90 Days 20% (2) AAA & Aaa 6.8% 15.4% 53601(I) Trust Indenture Debt Not Authorized 53601(m) Secured Bank Deposits 5 Years No Limit Not Authorized 53601(k) Local Government AAA & Aaa AAA & Aaa Investment Pools 90 Days 20% or Advisor 90 Days I 20% (2) I or Advisor l 7.5% I 5.7% 53601(n) Mortgage -Backed 5 Years 20% A (Issuer) & Not Authorized Securities AA (Security LAIF No Limit I 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. 19.6% I 37.4% 76.6% 100.0% Certified California Municipal Treasurer Page 8 of 8