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Home My WebLink AboutInvestment Report - May 2006�C CITY OF PALM DESERT FINANCE DEPARTMENT INTEROFFICE MEMORANDUM TO: RACHELLE KLASSEN, CITY CLERK FROM: NIAMH ORTEGA, RECORDING SECRETARY`4 DATE: JUNE 27, 2006 SUBJECT: COMPLIANCE ANALYSIS AND INVESTMENT REPORTS Please find attached the Compliance Analysis and Investment Reports for May 2006 which were presented and approved at the meeting of June 27, 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:TinanceWiamh OrtegaMpdocsllnvestment Committee\MemOstrklasseninvreport.wpd ,: p t. LL° trz�t3s_e - _ - 4t e' a eto a +olr fo trs 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 28-29 June. The market has assigned a 100 percent probability to another 25 basis -point increase in the Federal Funds Rate, bringing it to 5.25 percent. Chairman Bernanke commented that while the economy is "transitioning" to a slower growth rate (due largely to a slowdown in the housing market), recent inflation data and expectations were still too high for comfort. The FOMC is willing to sacrifice some economic growth in order to strengthen Bernanke's inflation -fighting reputation. The result may be sub -par economic growth over the next four quarters, with Gross Domestic Product (GDP) at around 2.5 percent. High energy prices are forcing consumers to cut spending elsewhere. Oil prices are expected to peak this year at $80 a barrel in August. Over time, however, the price trajectory will continue to be upward as Asian petroleum consumption eventually outpaces U.S. petroleum consumption. The amount of oil on the market is being further reduced by Chinese forward contracts that are intended to tie up crude oil supplies for years to come. China is currently competing with the U.S. for the petroleum resources of Alberta, Canada. Chinese exports are expected to grow 20 percent this year, despite some appreciation in the Yuan. The continued rapid growth of Chinese exports should expand global supply enough to keep global inflation stable. ;Paabs c.C..". r. Treasurer PORTFOLIO STATISTICS Dollars in Thousands MAY-06 APR-06 MAR-06 FEB-06 JAN-06 DEC-05 CITY Month -End Book Value*" $ 179,707 $ 150,753 $ 149,944 $ 147,007 $ 147,649 $ 143,187 Month -End Market Value*- $ 178,862 $ 149,906 $ 149,118 $ 146,312 $ 146,991 $ 142,231 Paper Gain (Loss) $ (845) $ (847) $ (826) $ (695) $ (658) $ (956) Prior Year Book Variance $ 7,292 $ 4,436 $ 3,087 $ 4,320 $ 7,431 $ 18,463 Interest Earnings $ 531 $ 506 $ 513 $ 476 $ 454 $ 460 Yield -To -Maturity 4.62% 4.47% 4.38% 4.31 % 4.06% 3.95% Weighted Maturity (Days) 418 419 415 414 210 215 Effective Duration 0.67 0.71 0.73 0.76 0.27 0.29 RDA Month -End Book Value *** $ 137,456 $ 142,678 $ 149,459 $ 153,652 $ 151,779 $ 125,395 Month -End Market Value *' $ 136,700 $ 142,043 $ 148,888 $ 153,233 $ 151,479 $ 124,957 Paper Gain (Loss) $ (756) $ (635) $ (571) $ (419) $ (300) $ (438) Prior Year Book Variance $ 13,083 $ 17,442 $ (8,865) $ (5,453) $ (8,781) $ (22,407) Interest Earnings $ 537 $ 522 $ 553 $ 494 $ 435 $ 385 Yield -To -Maturity 4.62% 4.50% 4.38% 4.26% 3.99% 3.82% Weighted Maturity (Days) 445 429 410 415 128 153 Effective Duration 0.86 0.86 0.86 0.86 0.15 0.20 **" Omits SLGSs. Dollars in Thousands Ageing Interval < 1 M < 2M < 3M < 6M < 1YR < 2YR < 3YR < 4YR < 5YR > 5YR Total: Ratings AAA AA A Unrated ** BB - Total: Sector MMFs LAI F RDA Loan MTNs Agencies CP Total: Month Jun05 Jul Aug Sep Oct Nov Dec Jan06 Feb Mar Apr May City of Palm Desert -- Portfolio Characteristics 31 May 2006 Market Value $ 39,410 5,915 8,906 5,832 21,554 18,564 $ 100,181 Market Value $ 59,202 $ 2,079 $ 5,982 60,510 10,056 $ 137,829 Market Value $ 18,595 27,725 32,785 22,015 36,709 $ 137,829 Citv Yield LAW Yield 3.29 2.97 3.37 3.08 3.43 3.18 3.56 3.32 3.67 3.46 3.81 3.64 3.95 3.81 4.06 3.96 4.31 4.04 4.38 4.14 4.47 4.30 4.62 4.56 General Fund Ageing 100 80 0 60 t- 40 39 0 a 22 20 6 9 6 I I 0 o r� n I I 0 < 1 M < 2M < 3M < 6M < 1 YR < 2YR < 3YR Credit Quality AAA AA 43% 2% BB- A I 7% 4% i Unrated ** 44% Asset Allocation) RDA Loan 24% LAW MTNs 20% 16% MMFs Agencies 13% 27% Variance Performance 0.32 0.29 4.8 0.25 0.24 4.3 0 0.21 0.17 3.8 m 0.14 3.3 0.10 0.27 2.8 0.23 Jun05 Jul Aug Sep Oct Nov Dec Jan06 Feb Mar Apr May 0.17 0.05 ■ LAiF Yield ■ City Yield Standard and Poors ** LAIF, and City Loan to RDA Page 2 of 8 City of Palm Desert Portfolio Holdings 31 May 2006 Market Ratings Par Value Issuer I Coupon] Maturity I Cost J YTM Price I Value I Moody'sl S&P Medium -Term Notes $ 3,000,000 BANK ONE 4.13 9/1/07 $ 3,017,153 3.64 98.16 $ 2,944,827 Aa3 A+ $ 3,000,000 FORD MOTOR CREDIT CORP 7.20 6/15/07 $ 3,039,717 5.75 99.45 $ 2,983,467 Ba2 BB- $ 2,500,000 FORD MOTOR CREDIT CORP 7.20 6/15/07 $ 2,533,097 5.75 99.45 $ 2,486,222 Ba2 BB- $ 4,612,000 FORD MOTOR CREDIT CORP 7.20 6/15/07 $ 4,705,453 5.10 99.45 $ 4,586,583 Ba2 BB- $ 2,000,000 GENERAL ELECTRIC 3.13 11/9/06 $ 1,993,247 3.92 99.05 $ 1,980,932 Aaa AAA $ 2,000,000 GENERAL ELECTRIC 3.60 10/15/08 $ 1,938,891 4.99 95.86 $ 1,917,258 Aaa AAA $ 3,000,000 GOLDMAN SACHS 7.20 311107 $ 3,079,541 3.50 101.24 $ 3,037,224 Aa3 A+ $ 2,000,000 WAL-MART 6.88 8110/09 $ 2,112,766 4.93 103.93 $ 2,078,632 Aa2 AA $ 22,112,000 Subtotal $ 22,419,865 4.72 $ 22,015,146 Federal Agencies - Coupon $ 3,000,000 FED HOME LOAN BANK 3.70 8/15/07 $ 2,996,815 3.79 98.09 $ 2,942,813 Aaa AAA $ 1,500,000 FED HOME LOAN BANK 2.10 10/13/06 $ 1,491,002 3.79 98.88 $ 1,483,125 Aaa AAA $ 3,000,000 FED HOME LOAN BANK 4.38 9/11/09 $ 2,955,675 5.59 97.16 $ 2,914,688 Aaa AAA $ 1,980,000 FED HOME LOAN BANK 4.75 12/12/08 $ 1,973,729 4.87 98.66 $ 1,953,394 Aaa AAA $ 3,000,000 FED HOME LOAN BANK 4.63 9/12/08 $ 2,984,494 5.40 98.50 $ 2,955,000 Aaa AAA $ 2,049,000 FED HOME LOAN BANK 4.00 12/15/09 $ 1,992,241 4.87 95.72 $ 1,961,277 Aaa AAA $ 2,035,000 FED HOME LOAN MTG CORP 2.50 12/4/06 $ 2,021,631 3.84 98.56 $ 2,005,747 Aaa AAA $ 2,033,000 FED HOME LOAN MTG CORP 4.25 7115/09 $ 1,997,163 4.87 96.91 $ 1,970,104 Aaa AAA $ 2,000,000 FED HOME LOAN MTG CORP 4.13 11/18/09 $ 1,952,632 4.88 96.20 $ 1,924,074 Aaa AAA $ 2,000,000 FED HOME LOAN MTG CORP 4.90 11/3/08 $ 1,992,807 5.06 98.62 $ 1,972,408 Aaa AAA $ 2,786,000 FED NATIONAL MTG ASSOC 7.13 3/15/07 $ 2,861,369 3.55 101.34 $ 2,823,437 Aaa AAA $ 3,000,000 FED NATIONAL MTG ASSOC 3.00 8/15107 $ 2,978,754 3.63 97.28 $ 2,918,438 Aaa AAA $ 3,000,000 FED NATIONAL MTG ASSOC 2.75 8111/06 $ 2,993,966 3.81 99.53 $ 2,985,938 Aaa AAA $ 2,000,000 FED NATIONAL MTG ASSOC 4.63 10/28/09 $ 1,984,141 4.88 97.81 $ 1,956,250 Aaa AAA $ 33,383,000 Subtotal $ 33,176,418 4.46 $ 32,766,691 Federal Agencies -- Callable $ 2,000,000 FED HOME LOAN BANK 4.20 7/18/08 $ 1,973,033 4.88 97.75 $ 1,955,000 Aaa AAA $ 2,000,000 FED HOME LOAN MTG CORP 5.05 8122/08 $ 1,999,444 5.06 99.35 $ 1,987,016 Aaa AAA $ 4,000,000 Subtotal $ 3,972,477 4.97 $ 3,942,016 Local Government Investment Pool $ 27,724,344 L.A.15. 0.00 611106 $ 27,724,344 4.56 100.00 $ 27,724,344 U U $ 27,724,344 Subtotal $ 27,724,344 4.56 $ 27,724,344 Local Government Investment Pool $ 10,623,081 C.A.M.P. 0.00 6/1/06 $ 10,623,081 4.86 100.00 $ 10,623,081 U AAA $ 10,623,081 Subtotal $ 10,623,081 4.86 $ 10,623,081 "U" = Unrated Page 3 of 8 City of Palm Desert Portfolio Holdings 31 May 2006 Market Ratings Par Value I Issuer ICouponj Maturity I Cost I YTM I Price I Value Moody'sl S&P Money Market Fund $ 7,972,187 WF ADVANTAGE GOUT 0.00 6/1/06 $ 7,972,187 4.89 100.00 $ 7,972,187 Aaa AAA $ 7,972,187 Subtotal $ 7,972,187 4.89 $ 7,972,187 City Loan to RDA $ 32,785,480 CITY OF PALM DESERT 0.00 6/1/36 $ 32,785,480 4.56 100.00 $ 32,785,480 U U $ 32,785,480 Subtotal $ 32,785,480 4.56 $ 32,785,480 Total Investments $ 138,600,092 $ 138,673,852 4.62 $ 137,828,944 Cash $ 39,545,270 CITY MAIN CHKG 0.00 6/1/06 $ 39,545,270 0.00 100.00 $ 39,545,270 N/A N/A $ 427,766 DESERT WILLOW CHKG 0.00 6/1/06 $ 427,766 0.00 100.00 $ 427,766 N/A NIA $ 626,584 MONTEREY 170 CHKG 0.00 611/06 $ 626,584 0.00 100.00 $ 626,584 N/A NIA $ 433,832 RECREATIONAL FAC CHKG 0.00 6/1/06 $ 433,832 0.00 100.00 $ 433,832 NIA NIA $ 41,033,451 Subtotal $ 41,033,451 $ 41,033,451 Total Investments and Cash $ 179,633,543 $ 179,707,303 $ 178,862,395 "U" = Unrated Page 4 of 8 Dollars in Thousands Aaeina Interval <1M < 2M < 3M < 6M < 1 YR < 2YR < 3YR < 4YR < 5YR > 5YR Total: Quali AAA AA A Unrated '* BB - Total: Sector LAW MMFs Agencies MTNs CP Treasuries Total: Month Jun05 Jul Aug Sep Oct Nov Dec Jan06 Feb Mar Apr May Palm Desert Redevelopment Agency -- Portfolio Characteristics 31 May 2006 Market Value $ 47,987 i f Portfolio Ageing w/o SLGSs� 2,980 100 1,978 90 80 5,876 0 70 14,239 4 0 50 49 1 12,778 40 12,855 a 30 14 13 13 _ 20 10 0 3 2 6 $ 98,693 i < 1M < 2M < 3M < 6M < 1YR < 2YR < 3YR < 4YR Market Value Credit Quality $ 78,126 AAA AA $ 1,937 59% 1% $ 2,017 A 50,443 1 % 2,998 BB- Unrated $ 135,521 2% 37% Market Value Asset Allocation MMFs $ 50,443 18% 24,426 LAW 53,701 37% 6,951 - - MTNs Agencies 40% $ 135,521 5% RDA Yield LAW Yield Variance Performance 3.09 2.97 0.13 3.21 3.08 0.13 4.8 3.32 3.18 0.14 3.42 3.32 0.10 4.3 3.54 3.46 0.08 3.68 3.64 0.04 32 3.8 d 3.82 3.81 0.01 } 3.3 3.99 3.96 0.03 4.26 4.04 0.22 2.8 4.38 4.14 0.24 Jun05 Jul Aug Sep Oct Nov Dec Jan06 Feb Mar Apr May 4.50 4.30 0.20 4.60 4.56 0.04 ■ LAIF Yield ■ RDA Yield Standard and Poors ** LAIF Page 5 of 8 Palm Desert Redevelopment Agency Portfolio Holdings 31 May 2006 Market Ratings Par Value Issuer Coupon Maturity Cost YTM I Price I Value Moody'sl S&P Medium -Term Notes $ 3,000,000 FORD MOTOR CREDIT CORP 6.50 1/25/07 $ 3,030,232 4.85 99.94 $ 2,998,287 Ba2 BB- $ 2,000,000 FIRST UNION NAT BANK 5.80 12/1/08 $ 2,036,741 5.00 100.83 $ 2,016,506 Aa3 A+ $ 2,000,000 WELLS FARGO BANK 4.00 8/15/08 $ 1,960,607 4.96 96.83 $ 1,936,568 Aal AA- $ 7,000,000 Subtotal $ 7,027,579 4.93 $ 6,951,361 Federal Agency - Coupon $ 3,000,000 FED FARM CREDIT BANK 2.63 9/17/07 $ 2,969,964 3.43 96.69 $ 2,900,625 Aaa AAA $ 2,000,000 FED FARM CREDIT BANK 6.45 10/7/09 $ 2,095,090 4.88 103.35 $ 2,067,026 Aaa AAA $ 2,000,000 FED FARM CREDIT BANK 3.63 10/24/08 $ 1,943,907 4.89 96.22 $ 1,924,375 Aaa AAA $ 2,000,000 FED FARM CREDIT BANK 4.75 8/3/09 $ 1,993,048 4.87 98.50 $ 1,970,000 Aaa AAA $ 3,000,000 FED HOME LOAN BANK 3.38 9/14/07 $ 2,996,454 3.82 97.66 $ 2,929,688 Aaa AAA $ 3,970,000 FED HOME LOAN BANK 4.25 9/12/08 $ 3,918,377 4.79 97.72 $ 3,879,434 Aaa AAA $ 3,970,000 FED HOME LOAN BANK 4.25 9/12/08 $ 3,918,377 4.79 97.72 $ 3,879,434 Aaa AAA $ 4,500,000 FED HOME LOAN BANK 4.38 9/11/09 $ 4,433,512 5.59 97.16 $ 4,372,031 Aaa AAA $ 2,000,000 FED HOME LOAN BANK 3.50 11/3/09 $ 1,914,502 4.88 94.22 $ 1,884,375 Aaa AAA $ 4,000,000 FED HOME LOAN BANK 4.63 9/12/08 $ 3,979,326 4.84 98.50 $ 3,940,000 Aaa AAA $ 2,005,000 FED HOME LOAN BANK 3.88 7/24/09 $ 1,946,750 4.89 95.75 $ 1,919,788 Aaa AAA $ 3,000,000 FED HOME LOAN MTG CORP 4.88 3/15/07 $ 3,033,797 3.38 99.63 $ 2,988,750 Aaa AAA $ 2,974,000 FED HOME LOAN MTG CORP 3.63 9/15/06 $ 2,974,254 3.60 99.53 $ 2,960,059 Aaa AAA $ 2,974,000 FED HOME LOAN MTG CORP 3.63 9/15/06 $ 2,974,301 3.60 99.53 $ 2,960,059 Aaa AAA $ 2,049,000 FED HOME LOAN MTG CORP 4.00 12/15/09 $ 1,992,045 4.87 95.72 $ 1,961,277 Aaa AAA $ 2,000,000 FED HOME LOAN MTG CORP 5.00 7/23/08 $ 1,997,274 5.07 99.20 $ 1,984,016 Aaa AAA $ 2,973,000 FED NATIONAL MTG ASSOC 3.63 3/15/07 $ 2,974,641 3.95 98.66 $ 2,933,050 Aaa AAA $ 4,155,000 FED NATIONAL MTG ASSOC 6.63 9/15/09 $ 4,369,612 4.89 103.84 $ 4,314,708 Aaa AAA $ 2,000,000 FED NATIONAL MTG ASSOC 3.88 11 /17/08 $ 1,954,591 4.87 96.56 $ 1,931,250 Aaa AAA $ 54,570,000 Subtotal $ 54,379,821 4.52 $ 53,699,946 Local Government Investment Pools $ 30,072,381 L.A.I.F. 0.00 6/1/06 $ 30,072,381 4.56 100.00 $ 30,072,381 U U $ 5,960,895 L.A.I.F. (HOUSING) 0.00 6/1/06 $ 5,960,895 4.56 100.00 $ 5,960,895 U U $ 496,303 L.A.I.F. BOND PROCEEDS 0.00 6/1/06 $ 496,303 4.56 100.00 $ 496,303 U U $ 13,913,883 L.A.I.F. BOND PROCEEDS 0.00 6/1/06 $ 13,913,883 4.56 100.00 $ 13,913,883 U U $ 50,443,462 Subtotal $ 50,443,462 4.56 $ 50,443,462 Local Government Investment Pool $ 8,501,809 C.A.M.P. 0.00 6/1/06 $ 8,501,809 4.86 100.00 $ 8,501,809 U AAA $ 8,501,809 Subtotal $ 8,501,809 4.86 $ 8,501,809 Money Market Fund $ 15,924,163 WF ADVANTAGE GOVT 0.00 6/1/06 $ 15,924,163 4.89 100.00 $ 15,924,163 Aaa AAA $ 15,924,163 Subtotal $ 15,924,163 4.89 $ 15,924,163 "U" = Unrated Page 6 of 8 Palm Desert Redevelopment Agency Portfolio Holdings 31 May 2006 I Par Value I Issuer Total Investments $ 136,439,434 Cash $ 854,993 HOUSING AUTH CHKG $ 324,119 HOUSING AUTH TRUST $ 1,179,113 Subtotal Total Investments and Cash $ 137,618,547 Market Ratings Coupon] Maturity I Cost J YTM Price I Value I Moody'si S&P $ 136,276,835 4.62 $ 135,520,741 0.00 6/1/06 $ 854,993 0.00 100.00 $ 854,993 N/A N/A 0.00 6/1 /06 $ 324,119 0.00 100.00 $ 324,119 N/A N/A $ 1,179,113 $ 1,179,113 Corporate Issuers FORD MOTOR CREDIT CORPORATION FIRST UNION NAT BANK WELLS FARGO BANK $ 137,455,948 $ 136,699,854 % of Portfolio (Market Value) 2.19% 1.48% 1.42% "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 31 May 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 27 June 2006, PauLS. 67d)1n C. C. 11.4� T. City Treasurer SUMMARY OF AUTHORIZED INVESTMENTS 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% 26.8% 39.9% 53601(f) Bankers's Acceptances 180 Days 40% 180 Days 40% A-1- l 53601(g) Commercial Paper 270 Days 25% A-1+ or P-1 270 Days 25% A-1+ or P-1 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 536010) Medium -Term Notes 5 Years 30% A 5 Years 30% A 16.2 /0 5.2 !o 53601(k) Mutual Funds 90 Days 20% AAA & Aaa 90 Days, 20% (2) IAAA & Aaal 5.8% 11.7% 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 & Aaal Investment Pools 90 Days 20% or Advisor . 90 Day s l 20% 2) ( I or Advisor 7.7% l 6.2% 53601(n) Mortgage -Backed 5 Years 20% A (Issuer) & Not Authorized Securities AA (Security LAiF No Limit I 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. 20.0% l 37.0% 76.4% 100.0% * Certified California Municipal Treasurer Page 8 of 8