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Home My WebLink AboutInvestment Reports - February 2011 - Joint ConsiderationCITY OF PALM DESERT FINANCE DEPARTMENT INTEROFFICE MEMORANDUM TO: RACHELLE KLASSEN, CITY CLERK FROM: NIAMH ORTEGA, RECORDING SECRETARY\-\\"'� DATE: APRIL 8, 2011 SUBJECT: COMPLIANCE ANALYSIS AND INVESTMENT REPORTS Please find attached the Compliance Analysis and Investment Reports which were presented and approved at the recent meetings of the Audit, Investment and Finance Committee for the month of February 2011. Please include the report on the upcoming agenda for review and acceptance by City Council. Also included are the Minutes of the February 2011 meeting for acceptance by the City Council. Please feel free to contact me at Ext. 382 if you have any questions. Thank you. nmo Attachment (as noted) CITY COUNCILACTION APPROVED O NIrD RECEIVED pi MEETING DATE AYES: i NOES: 0 --- ABSENT: ABSTAIN: VERIFIED BY: k_'( r(i Original on File with City Clerks Office RANI ' �-rl(�. BY RDA F YI_�-7 i4bSelj) ON -4--"'�Z,l I VFRIFIED BY_r4 Original on file ,,Mt r Cit; >Ici k's OffiCe GARNANCE\NIAMH ORTEGA\INVESTMENT COMM ITTEE\MEMOS\RKLASSENINVREPORT.WPD City of Palm Desert City and Redevelopment Agency Portfolios COMPLIANCE. ANALYSIS AND INVESTMENT REPORT February 28, 2011 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 meet next on March 15. No change in FOMC policy is expected until at least mid-2011. In March, Chairman Bernanke testified before Congress that the FOMC would withdraw the stimulus only when it saw a self-sustaining recovery where employment and labor markets were improving, and inflation was stable at 2%. Many economists believe that inflation will remain moderate over the next 12 months, How sustainable the recovery is will be evident after QE2 ends in June 2011. The Federal Reserve has bought more than 70% of the U.S. Treasury debt that has been issued since the beginning of QE2. The U.S. economic recovery continues at a slow and modest pace, as indicated by a weak labor market, and an extremely depressed housing sector. The main risk is that the U.S. economy will descend into a double -dip recession due to spiraling oil prices. Global oil prices are rising due to an expanding series of political and military confrontations across North Africa and the Middle East. Deutsche Bank estimates that the breakpoint for a double -dip recession is $120 per barrel of crude oil. Crude oil is currently priced at $105 per barrel. In February, approximately $10.8 million was transferred from RDA to CITY to rebalance the investment portfolios. RDA also paid off approximately $9.1 million of the CITY loan to RDA. Pis tiauolil C..C.Af 7- City Treasurer PORTFOLIO STATISTICS Dollars in Thousands FEB-11 JAN-11 DEC-10 NOV-10 OCT-10 SEP-10 CITY Month -End Book Value*** $ 195,436 $ 191,620 $ 186,911 $ 190,254 $ 192,696 $ 195,728 Month -End Market Value*** $ 195,618 $ 191,842 $ 187,160 $ 190,546 $ 193,077 $ 196,176 Paper Gain (Loss) $ 182 $ 222 $ 249 $ 292 $ 381 $ 448 Prior Year Book Variance $ (4,688) $ (26,474) $ (15,318) $ (11,127) $ (46,511) $ (36,665) Interest Earnings 96 115 130 112 136 155 Yield -To -Maturity 0.56% 0.66% 0.72% 0.75% 0.78% 0.96% Weighted Maturity (Days) 105 131 146 217 255 311 Effective Duration 0.06 0.07 0.09 0.10 0.13 0.15 RDA Month -End Book Value *** $ 256,731 $ 270,539 $ 230,513 $ 233,601 $ 242,873 $ 257,899 Month -End Market Value *** $ 257,025 $ 270,899 $ 230,876 $ 234,003 $ 243,401 $ 258,372 Paper Gain (Loss) $ 294 $ 360 $ 363 $ 402 $ 528 $ 473 Prior Year Book Variance $ (47,490) $ (16,704) $ (25,758) $ (28,133) $ 16,866 $ (8,043) Interest Earnings 142 135 116 98 116 166 Yield -To -Maturity 0.71 % 0.68% 0.60% 0.59% 0.60% 0.59% Weighted Maturity (Days) 267 253 297 293 305 296 Effective Duration 0.37 0.36 0.45 0.47 0.47 0.47 *** Omits SLGSs. Dollars in Thousands Ageing Interval < 1 M < 2M < 3M < 6M < 1 YR < 2YR < 3YR < 4YR < 5YR > 5YR Total: City of Palm Desert -- Portfolio Characteristics February 28, 2011 Market Value $ 125,716 3,010 11,024 3,064 3,027 $ 145,841 Ratings Market Value AAA $ 97,251 AA 4,049 A 3,877 Unrated "` 88,802 Total: $ 193,979 Sector Market Value MMF $ 4,940 Agencies 15,105 MTNs 7,972 CAMP 77,160 LAIF 50,000 RDA Loan 13,555 LAIF/Bond Proceeds 25,247 Total: $ 193,979 General Fund Ageing 100 80 F 0 60 � 40 0 o. 20 0 2 0 2 2 0 0 0 0{ 1 M 2M 3M 6M 1 YR 2YR 3YR 4YR 5YR 5YR i Credit Quality AAA 50% AA Unrated " 2% A 46% 2% i Asset Allocation Month Mar10 City Yield 1.43 LAIF Yield 0.55 Variance 0.88 Performance Apr 1.41 0.59 0.83 May 1.25 0.56 0.69 Jun 1.16 0.53 0.63 Jul 1.12 0.53 0.59 Aug 0.93 0.51 0.41 d Sep 0.96 0.50 0.46 >- Oct 0.78 0.48 0.30 Nov 0.75 0.45 0.30 Dec 0.72 0.46 0.26 1 Jan11 0.66 0.54 0.12 Feb 0.56 0.51 0.05 LAIF CAMP 39% 26% MTNs 4% Agencies r RDA Loan 8% MMF LAIF/Bond 7% 3% Proceeds 13% 1.5 1.0 0.5 0.0 Marl AprMayJun Jul AugSepOctNovDedan1 Feb e o Standard and Poors LAIF, and City Loan to RDA Page 2 City of Palm Desert Portfolio Holdings February 28, 2011 Market I Ratings Par Value Issuer I Coupon I Maturityl Cost I YTM I Price I Value I Moody'sl S&P Medium -Term Notes $ 3,795,000 BANK OF AMERICA 5.38 8/15/11 $ 3,816,169 4.05 102.17 $ 3,877,500 A2 A $ 4,000,000 WELLS FARGO BANK 6.38 8/1/11 $ 4,018,324 5.13 102.36 $ 4,094,288 Al AA $ 7,795,000 Subtotals $ 7,834,493 4.60 $ 7,971,788 Agencies -- Coupon $ 3,000,000 FED FARM CREDIT BANK 3.50 10/3/11 $ 3,044,205 0.97 101.86 $ 3,055,851 Aaa AAA $ 3,000,000 FED HOME LOAN BANK 1.63 7/27/11 $ 3,009,589 1.18 100.59 $ 3,017,565 Aaa AAA $ 3,000,000 FED HOME LOAN BANK 1.63 3/16/11 $ 3,001,412 0.41 100.06 $ 3,001,893 Aaa AAA $ 3,000,000 FED HOME LOAN BANK 1.10 8/28/12 $ 2,999,559 1.11 100.76 $ 3,022,728 Aaa AAA $ 3,000,000 FED HOME LOAN MTG CORP 1.63 4/26/11 $ 3,004,488 0.60 100.22 $ 3,006,663 Aaa AAA $ 15,000,000 Subtotals $ 15,059,253 0.86 $ 15,104,700 Local Agency Investment Fund $ 50,000,000 L.A.I.F. 0.00 3/1/11 $ 50,000,000 0.51 100.00 $ 50,000,000 U U $ 50,000,000 Subtotal $ 50,000,000 0.51 $ 50,000,000 Local Agency Investment Fund $ 25,247,352 L.A.I.F. BOND PROCEEDS 0.00 3/1/11 $ 25,247,352 0.51 100.00 $ 25,247,352 U U $ 25,247,352 Subtotal $ 25,247,352 0.51 $ 25,247,352 Local Agency Investment Fund $ 77,152,213 C.A.M.P. 0.00 3/1/11 $ 77,152,213 0.18 100.00 $ 77,152,213 U AAA $ 7,748 C.A.M.P. (DESERT WILLOW) 0.00 3/1/11 $ 7,748 0.18 100.00 $ 7,748 U AAA $ 77,159,960 Subtotals $ 77,159,960 0.18 $ 77,159,960 Money Market Fund $ 4,940,048 WF ADVANTAGE GOUT MMF 0.00 3/1/11 $ 4,940,048 0.00 100.00 $ 4,940,048 Aaa AAA $ 4,940,048 Subtotals $ 4,940,048 0.00 $ 4,940,048 City Loan to RDA $ 13,555,000 CITY OF PALM DESERT 0.00 3/1/41 $ 13,555,000 0.51 100.00 $ 13,555,000 U U $ 13,555,000 Subtotals $ 13,555,000 0.51 $ 13,555,000 Total Investments $ 193,697,360 $ 193,796,106 0.56 $ 193,978,848 "U"= Unrated Page 3 City of Palm Desert Portfolio Holdings February 28, 2011 Market Ratings Par Value Issuer I Coupon I Maturityl Cost I YTM I Price I Value Moody'sl S&P Cash $ 567,460 CITY MAIN CHKG 0.00 3/1/11 $ 567,460 0.00 100.00 $ 567,460 U U $ 947,445 DESERT WILLOW CHKG 0.00 3/1/11 $ 947,445 0.00 100.00 $ 947,445 U U $ 124,596 RECREATIONAL FAC CHKG 0.00 3/1/11 $ 124,596 0.00 100.00 $ 124,596 U U $ 1,639,500 Subtotals $ 1,639,500 0.00 $ 1,639,500 Total Investments and Cash $ 195,336,861 $ 195,435,607 Corporate Issuers BANK OF AMERICA WELLS FARGO BANK Agency Issuers FED FARM CREDIT BANK FED HOME LOAN BANK FED HOME LOAN MTG CORP % of Portfolio ;Market Value) 1.98% 2.09% % of Portfolio Unrleo* Vnh.ol 1.56% 4.62% 1.54% $ 195,618,348 "U"= Unrated Page 4 Palm Desert Redevelopment Agency -- Portfolio Characteristics February 28, 2011 Dollars in Thousands Aneinci Interval Market Value < 1 M $ 73,168 < 2M - < 3M - < 6M 3,052 < 1YR 15,141 < 2YR 26,411 < 3YR - < 4YR - < 5YR - > 5YR 3,151 Total: $ 120,923 ualit AAA AA A Unrated ** Total: Market Value $ 57,793 3,004 9,839 185,149 $ 255,785 Sector Market Value MMF $ 2,949 Agencies 44,523 MTNs 12,843 CAMP 10,320 LAIF 51,611 EIP 3,151 LAIF/Bond Proceeds 130,388 Total: $ 255,785 Month RDA Yield LAIF Yield Variance Marl 0.70 0.55 0.15 Apr 0.74 0.59 0.15 May 0.69 0.56 0.13 Jun 0.78 0.53 0.25 Jul 0.76 0.53 0.23 Aug 0.79 0.51 0.28 Sep 0.59 0.50 0.09 Oct 0.60 0.48 0.12 Nov 0.59 0.45 0.14 Dec 0.60 0.46 0.14 Jan11 0.68 0.54 0.14 Feb 0.71 0.51 0.20 r' Portfolio Ageing w/o SLGSs 100 801 _... 0 60 0 t 40 0 a 20 0 22 13 0 0 3 n n 0 0 0 3 1 M 2M 3M 6M 1 YR 2YR 3YR 4YR 5YR 5YR (Credit Quality A 4% AA 1% AAA 23% Unrated " 72 % Asset Allocation CAMP 20% EIP MTNs ° 1% 5% Agencies 17% LAIF/Bond Proceeds MMF 52% 1% Performance 0.8 0 0.4 d 0.0 Mar10'kprMayJun Jul AugSepOctNovDedanl'Feb ®LAIFYield 0RDAYield * Standard and Poors ** LAIF Page 5 Palm Desert Redevelopment Agency Portfolio Holdings February 28, 2011 Market I Ratings Par Value Issuer I Coupon I Maturity I Cost I YTM I Price I Value I MoodVs I SAP Corporate Issuers $ 3,000,000 ABBOTT LABS 3.75 3/15/11 $ 3,003,656 0.60 100.12 $ 3,003,555 Al AA $ 3,450,000 BEAR STEARNS (JPM) 6.95 8/10/12 $ 3,697,644 1.83 108.31 $ 3,736,785 Aa3 A+ $ 3,000,000 JP MORGAN CHASE 3.13 12/1/11 $ 3,049,750 0.69 102.10 $ 3,063,114 Aa3 A+ $ 3,000,000 JP MORGAN CHASE 5.60 6/1/11 $ 3,035,334 0.85 101.31 $ 3,039,393 Aa3 A+ $ 12,450,000 Subtotals $ 12,786,385 1.04 $ 12,842,847 Agencies -- Coupon $ 2,000,000 FED HOME LOAN BANK 4.88 3/11/11 $ 1,999,679 5.49 100.13 $ 2,002,606 Aaa AAA $ 2,000,000 FED HOME LOAN BANK 4.88 3/11/11 $ 1,999,675 5.50 100.13 $ 2,002,606 Aaa AAA $ 2,890,000 FED HOME LOAN BANK 2.88 3111/11 $ 2,891,903 0.49 100.07 $ 2,892,121 Aaa AAA $ 3,000,000 FED HOME LOAN BANK 1.13 12/9/11 $ 3,004,462 0.96 100.60 $ 3,017,988 Aaa AAA $ 2,000,000 FED HOME LOAN BANK 1.10 8/28/12 $ 1,999,706 1.11 100.76 $ 2,015,152 Aaa AAA $ 2,500,000 FED HOME LOAN BANK 1.10 8/28/12 $ 2,499,633 1.11 100.76 $ 2,518,940 Aaa AAA $ 2,500,000 FED HOME LOAN BANK 1.10 8/28/12 $ 2,499,638 1.11 100.76 $ 2,518,940 Aaa AAA $ 2,500,000 FED HOME LOAN BANK 1.38 10/29/12 $ 2,507,138 1.20 101.26 $ 2,531,408 Aaa AAA $ 4,900,000 FED HOME LOAN BANK 1.75 12/14/12 $ 4,934,727 1.40 101.80 $ 4,988,171 Aaa AAA $ 3,000,000 FED HOME LOAN BANK 1.10 8/28/12 $ 2,999,566 1.11 100.76 $ 3,022,728 Aaa AAA $ 2,940,000 FED NATIONAL MTG ASSOC 1.75 3/23/11 $ 2,942,247 0.43 100.10 $ 2,942,817 Aaa AAA $ 9,000,000 FED NATIONAL MTG ASSOC 1.00 11/23/11 $ 9,003,879 1.00 100.50 $ 9,044,568 Aaa AAA $ 2,500,000 FED NATIONAL MTG ASSOC 1.13 7/30/12 $ 2,501,811 1.08 100.81 $ 2,520,195 Aaa AAA $ 41,730,000 Subtotals $ 41,784,064 1.44 $ 42,018,239 Agencies -- Callable $ 2,500,000 FED HOME LOAN MTG CORP 1.20 6/15/12 $ 2,501,933 1.08 100.21 $ 2,505,200 Aaa AAA $ 2,500,000 Subtotals $ 2,501,933 1.08 $ 2,505,200 Local Government Investment Pool $ 49,974,106 L.A.I.F. $ 1,637,000 L.A.I.F. (HOUSING) 0.00 0.00 3/1/11 3/1/11 $ $ 49,974,106 1,637,000 0.51 0.51 100.00 100.00 $ $ 49,974,106 1,637,000 U U U U $ 51,611,106 Subtotals $ 51,611,106 0.51 $ 51,611,106 Local Government Investment Pool $ 15,822,733 L.A.I.F. BOND PROCEEDS 0.00 3/1/11 $ 15,822,733 0.51 100.00 $ 15,822,733 U U $ 4,822,835 L.A.I.F. BOND PROCEEDS 0.00 3/1/11 $ 4,822,835 0.51 100.00 $ 4,822,835 U U $ 24,600,289 L.A.I.F. BOND PROCEEDS 0.00 3/1/11 $ 24,600,289 0.51 100.00 $ 24,600,289 U U $ 1,696,407 L.A.I.F. BOND PROCEEDS 0.00 3/1/11 $ 1,696,407 0.51 100.00 $ 1,696,407 U U $ 15,191,482 L.A.I.F. BOND PROCEEDS 0.00 3/1/11 $ 15,191,482 0.51 100.00 $ 15,191,482 U U $ 16,574,544 L.A.I.F. BOND PROCEEDS 0.00 3/1/11 $ 16,574,544 0.51 100.00 $ 16,574,544 U U $ 5,199,000 L.A.I.F. BOND PROCEEDS 0.00 3/1/11 $ 5,199,000 0.51 100.00 $ 5,199,000 U U $ 2,986,000 L.A.I.F. BOND PROCEEDS 0.00 3/1/11 $ 2,986,000 0.51 100.00 $ 2,986,000 U U $ 26,978,000 L.A.I.F. BOND PROCEEDS 0.00 3/1/11 $ 26,978,000 0.51 100.00 $ 26,978,000 U U "U" = Unrated Page 6 Palm Desert Redevelopment Agency Portfolio Holdings February 28, 2011 Market Ratings Par Value Issuer Coupon Maturity Cost YTM Price Value Moody's S&P Local Government Investment Pool (continued) $ 16,516,000 L.A.I.F. BOND PROCEEDS 0.00 3/1/11 $ 16,516,000 0.51 100.00 $ 16,516,000 U U $ 130,387,290 Subtotals $ 130,387,290 0.51 $ 130,387,290 Local Government Investment Pool $ 10,320,161 C.A.M.P. 0.00 3/1/11 $ 10,320,161 0.18 100.00 $ 10,320,161 U AAA $ 131 C.A.M.P. (HOUSING) 0.00 3/1/11 $ 131 0.18 100.00 $ 131 U AAA $ 10,320,292 Subtotals $ 10,320,292 0.18 $ 10,320,292 Money Market Fund $ 2,949,108 WF ADVANTAGE GOVT MMF 0.00 3/1/11 $ 2,949,108 0.00 100.00 $ 2,949,108 Aaa AAA $ 2,949,108 Subtotals $ 2,949,108 0.00 $ 2,949,108 Municipal Bonds $ 3,151,000 CITY OF PALM DESERT 0.00 9/2/29 $ 3,151,000 3.00 100.00 $ 3,151,000 U U $ 3,151,000 Subtotals $ 3,151,000 3.00 $ 3,151,000 Total Investments $ 255,098,795 $ 255,491,177 0.71 $ 255,785,081 Cash $ 834,319 HOUSING AUTH CHKG 0.00 3/1/11 $ 834,319 0.00 100.00 $ 834,319 U U $ 405,107 HOUSING AUTH TRUST 0.00 3/1/11 $ 405,107 0.00 100.00 $ 405,107 U U $ 1,239,426 Subtotals $ 1,239,426 0.00 $ 1,239,426 Total Investments and Cash $ 256,338,222 $ 256,730,603 $ 257,024,507 "U" = Unrated Page 7 Palm Desert Redevelopment Agency Portfolio Holdings February 28, 2011 Market I Ratings Par Value Issuer I Couoon I Maturity I Cost I YTM I Price I Value I Moodv's I S&P % of Portfolio Corporate Issuers (Market Value) ABBOTT LABS 1.17% BEAR STEARNS (JPM) 1.45% JP MORGAN CHASE 2.37% % of Portfolio Agency Issuers" (Market Value) FED HOME LOAN BANK 10.70% FED NATIONAL MTG ASSOC 5.64% "U" = Unrated Page 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 Audit, Investment, and Finance Committee and the Palm Desert City Council review the Statement of Investment Policy annually. For the month ended February 28, 2011, 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. Interactive Data Corporation provided the data that was 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 March 22, 2011, Pa"iLS (jdu , C. C. At 7: � City Treasurer SUMMARY OF AUTHORIZED INVESTMENTS California Government Code 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/Md s Portfolio Portfolio 53601 a Palm Desert Bonds 5 Years No Limit - 1.2% 53632(CL Savings Accounts No Limit No Limit No Limit No Limit - - 53601 b U.S. Treasuries 5 Years No Limit 5 Years No Limit - - 53601 c CA State Debt 5 Years No Limit Not Authorized 53601(d) CA Local Agency Debt 5 Years No Limit Not Authorized 53601 (eL Federal Agencies 5 Years No Limit 5 Years 30% 6% 7.8% 17.3% 53601 Bankers's Acceptances 180 Days 40% 180 Days 40% A-1 & P-1 - - 53601 Commercial Paper 270 Days 25% A-1+ or P-1 270 Days 25% A-1+ or P-1 - - 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(1) Reverse Repos 92 Days 20% Not Authorized 53601 ' Medium -Term Notes 5 Years 30% A 5 Years 30% 1 A 1 4.0% 5.0% 53601 k Mutual Funds 90 Days 20% AAA & Aaa 90 Days 1 20% (2) JAAA&AaaJ 2.6% 1 1.2% 53601 I Trust Indenture Debt Not Authorized 53601 m Secured Bank Deposits 5 Years No Limit Not Authorized 53601(k) Local Government Investment Pools 90 Days 20% AAA & Aaa or Advisor 90 Days 20% (2) AAA &Aaa or Advisor 39.8% 4.0% 53601(n) Mortgage -Backed Securities 5 Years 20% A (Issuer) & AA(Security Not Authorized 16429.1 b LAIF No Limit No Limit 38.8% H712% (1) The City loan to RDA, which is not a bond, has been approved by the Palm Desert City Council. 93.0%.0% (2) The City Energy Independence Program has been approved by the Palm Desert City Council. 3 Maximum limit for mutual funds and local government investment pools, excluding bond proceeds. Certified California Municipal Treasurer Page 9