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HomeMy WebLinkAboutInvestment Report - August 2012CITY PORTFOLIO CONCENTRATION LIMITS August 2012 % of Investments Book Value Portfolio CALIFORNIA ASSET MANAGEMENT PROGRAM $ 6,903,360.88 3.34% CITY LOAN TO RDA 13,554,999.95 6.56% WF/L.A.I.F. BOND PROCEEDS 25,387,899.47 12.28% FEDERAL AGENCY -- COUPON - 0.00% LOCAL AGENCY INVESTMENT FUND 35,247,442.81 17.05% WELLS FARGO CORPORATE TRUST 9,008,798.01 4.36% CORPORATE MEDIUM -TERM NOTES 8,721,575.42 4.22% RIVERSIDE COUNTY TREASURER 105,046,520.96 50.81 % TOTAL BEFORE CASH $ 203,870,597.50 98.61% PLUS: CASH $ 2,883,172.74 1.39% GRAND TOTAL $ 206,753,770.24 (1) 100.00% FOOTNOTE: (1) In the City of Palm Desert Comprehensive Annual Financial Report ("CAFR"), both the City of Palm Desert ("City") and the City's external auditor define total investments as demand deposits, investments in various instruments, and investments held in local government investment pools. 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Specifically, the Fed made an open-ended commitment to keep interest rates low through 2015, and to "print" $40 billion per month in order to buy mortgage -backed securities. The Fed's announcement followed the release of an unfavorable Labor Department report which showed a sharp slide in job creation between July and August. Economists are divided over whether QE3 will have a significant economic impact, other than temporarily lifting the stock market. Economists for the Wall Street Journal, for example, have calculated that QE3 will only decrease the national unemployment rate by a few tenths of a percent. On the downside, a weakening of the U.S. dollar could exacerbate the U.S. trade deficit by raising the cost of commodities imports. An increase in exports could be challenging, with most of Europe in recession, and the Chinese economy slowing down. The launch of QE3 is an implicit admission that QE1 and QE2 did not succeed in creating sustainable economic growth. Since 2008, the Fed has: (1) held short-term interest rates near zero for four years; (2) created $1.8 trillion of new money through QE1 and QE2; and (3) bought hundreds of billions of dollars of long-term U.S. Treasuries as part of "Operation Twist" 1 and 2. Y=ts oyw, , ee.my. City Treasurer Certified California Municipal Treasurer PORTFOLIO STATISTICS Thousands of Dollars 2012 i marKets i eam City Treasurer Paul S. Gibson, C.C.M.T. Deputy City Treasurer Thomas W. Jeffrey, J.D., M.B.A. investment The treasurer shall invest all public monies in a manner that ensures safety of principal; sufficient liquidity to finance the City's expenditures; and the highest yield possible after the previous two objectives have been met. Month -End Book Value $ 206,754 $ 205,805 $ 216,803 $ 218,086 $ 210,198 $ 210,603 Month -End Market Value $ 206,794 $ 205,845 $ 216,813 $ 218,101 $ 210,229 $ 210,643 Paper Gain (Loss) $ 40 $ 40 $ 10 $ 15 $ 31 $ 40 Prior Year Book Variance $ 99 $ (1,578) $ (6,478) $ (1,596) $ 3,543 $ 3,948 Interest Earnings $ 71 $ 72 $ 75 $ 76 $ 72 $ 74 Yield -To -Maturity 0.40% 0.42% 0.43% 0.43% 0.42% 0.45% Weighted Maturity (Days) 28 40 40 38 39 39 Effective Duration 0.04 0.05 0.05 0.05 0.06 0.06 All data as of August 31, 2012 PORTFOLIO CHARACTERISTICS August 2012 Dollars in Thousands Maturities Market Value < 1 M $ 179,093 < 2M - < 3M - < 6M - < 1Y 4,707 < 2Y 4,058 < 3Y - < 4Y - < 5Y - Total: $ 187,858 Ratings Market Value AAA or Aaa $ 120,959 AA or Aa 4,706 A 4,056 U nrated 74,190 Total: $ 203,911 i Maturities Distribution 95 100 80 e 0 �o 60 40 0 a 20 0 0 0 0 3 2 0 0 0 A <2M <3M <6M <1Y <2Y <3Y <4Y < Credit Quality AA A or Aaa 59% Unrated 37% AA orAa 2 2%% Asset Allocation Assets Market Value County Pool 105,047 County Pool LAIF 35,247 52% WF/LAIF Bond Proceeds 25,388 City Loan to RDA 13,555 MTN 8,762 Agencies CAMP 6,903 WF/Bond Proceeds 9,009 Agencies - Total: $ 203,911 Month City Yield LAW Yield Variance Sep11 0.49 0.41 0.08 Oct 0.43 0.39 0.05 Nov 0.44 0.40 0.04 Dec 0.37 0.38 -0.01 Jan12 0.40 0.39 0.01 Feb 0.41 0.39 0.02 Mar 0.45 0.38 0.07 Apr 0.42 0.37 0.05 May 0.43 0.36 0.07 Jun 0.43 0.36 0.08 Jul 0.42 0.36 0.05 Aug 0.40 0.38 0.02 LAI F 17% WF/LAIF Bond Proceeds 13% .oan to WF/Bond CAMP MTN RDA Proceeds 3% 4% 7% 4% STATEMENT OF COMPLIANCE August 2012 The investment of the City of Palm Desert securities portfolio is governed by California Government Code Section 53601 and by the Palm Desert Statement of Investment Policy. The City investment policy is more conservative than State law. The Palm Desert Audit, Finance, and Investment Committee, and the Palm Desert City Council review the City investment policy annually. For the month ended August 31, 2012, the City investment portfolio was in compliance with all applicable state and local laws and regulations. The City Treasurer's Office continued to pursue conservative and prudent investment strategies, based upon the stated objectives of safety, liquidity, and yield. Barring unforeseen events, the City Treasury should have sufficient cash to finance City expenditures for the next six months. In addition, portions of the City investment portfolio could be liquidated in order to meet any significant, unexpected cash requirements. Interactive Data Services provided the market value prices for securities in the City investment portfolio. All balances are bank balances. Respectfully submitted, .raa(s 095m, ee.M.Y. City Treasurer SUMMARY OF AUTHORIZED INVESTMENTS California Government Code City Investment Policy CA Govt Maximum Maximum Minimum Maximum Maximum Minimum % of City Code Investment Category Maturity Limit Quality Maturity Limit Quality Portfolio 53601(a) Palm Desert Bonds 5 Years No Limit - 53633 Demand Deposits 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(e) Federal Agencies 5 Years No Limit 5 Years No Limit - 53601(f) Bankers's Acceptances 180 Days 40% 180 Days 40% A-1 or P-1 - 53601(g) Commercial Paper 270 Days 25% A-1/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% 1 1 - 53601(I) Reverse Repos 92 Days 20% Not Authorized 53601(j) Medium -Term Notes 5 Years 30% A 5 Years 30% A 4.3% 53601(k) Money Market Funds 90 Days 20% AAA & Aaa 90 Days 20% AAA & Aaa 4.4% 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 No Limit AAA & Aaa or Advisor 90 Days 50% (1) AAA & Aaa 1 or Advisor 54.9% 53601(n) Mortgage -Backed Securities 5 Years 20% A (Issuer) & AA (Security) Not Authorized 16429.1(b) L.A.I.F. No Limit $50MM/Acct No Limit $50MM/Acct 29.7% (2)1 93.4% Footnotes: (1) Maximum concentration limit for local agency investment pools, excluding bond proceeds. (2) Total does not include the City Loan to RDA.