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Home My WebLink AboutInvestment Report - Dec '08CITY OF PALM DESERT FINANCE DEPARTMENT INTEROFFICE MEMORANDUM TO: RACHELLE KLASSEN, CITY CLERK FROM: NIAMH ORTEGA, RECORDING SECRETARYO\r�--o DATE: FEBRUARY 3, 2009 SUBJECT: COMPLIANCE ANALYSIS AND INVESTMENT REPORTS Please find attached the Compliance Analysis and Investment Reports for were presented and approved at the January meeting of the Audit, Investment and Finance Committee for the month of December 2008. Please include the report 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) CITY COUNCIL ACTION APPROVED, DENIED RECEIVED N OTHER MEETING DATE NOES: N ) F, ABSENT: PV t-,r)n AIIST"%'N: Nr)ne_ ('tvi" wll oil File with Cit. Clcr . ti 0111+.:e BY FDA ON - �a -09 VEM,NED BY — Original on file with City Clerk's Office GARNANCE\NIAMH ORTEGA\INVESTMENT COMMITTEE\MEMOS\RKLASSENINVREPORT.WPD �r City of Palm Desert City and Redevelopment Agency Portfolios COMPLIANCE ANALYSIS AND INVESTMENT REPORT December 2008 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 on January 27-28. No action is expected. The FOMC has adopted a strategy of "quantitative easing" by increasing the money supply so that the economy can be "inflated" out of recession. The U.S. banking system has been quasi -nationalized. This recession may prove to be the longest one since 1933. Job losses in 2008 were the worst since 1945. This, along with falling asset prices, led to an all-time low in consumer confidence in December. Consumer spending continued to contract as housholds shifted to saving money. U.S. trade declined by 18% as the global recession took hold in other countries. A wave of retailer bankruptcy filings is expected in 2009, along with the possible failure of 300 banks and one major insurer. Commercial office vacancies are expected to rise. Excess supply, high unemployment rates, and low capacity utilization rates continue to support deflation. Citigroup announced that it would breakup into two pieces ("good bank"Pbad bank") after sustaining an $8 billion loss in 4Q2008. Bank of America received more TARP money after sustaining a $15 billion loss from its Merrill Lynch acquisition. According to the League of California Cities, 28 California cities and counties lost over $300 million in bad investments in 2008. Approximately $75 million of this was due to Lehman Brothers. There are indications that further public agency losses may lie ahead due to the Madoff Scandal. The City of Palm Desert has not sustained any investment losses. Pia ZIS. G6NOrv, C. C.,y r City Treasurer PORTFOLIO STATISTICS Dollars in Thousands DEC-08 NOV-08 OCT-08 SEP-08 AUG-08 JUL-08 CITY Month -End Book Value*** $ 199,053 $ 213,607 $ 217,630 $ 211,223 $ 220,438 $ 222,674 Month -End Market Value*** $ 199,922 $ 213,168 $ 216,626 $ 224,865 $ 221,338 $ 223,460 Paper Gain (Loss) $ 869 $ (439) $ (1,004) $ 13,642 $ 900 $ 786 Prior Year Book Variance $ (38,071) $ (27,138) $ (26,483) $ (23,021) $ (25,412) $ (33,469) Interest Earnings $ 471 $ 529 $ 575 $ 647 $ 665 $ 688 Yield -To -Maturity 2.87% 3.04% 3.27% 3.70% 3.65% 3.69% Weighted Maturity (Days) 490 463 470 489 490 500 Effective Duration 0.54 0.53 0.55 0.58 0.63 0.65 RDA Month -End Book Value *** $ 251,852 $ 244,674 $ 245,100 $ 257,385 $ 284,134 $ 288,987 Month -End Market Value *** $ 253,288 $ 245,564 $ 245,429 $ 257,654 $ 284,962 $ 289,777 Paper Gain (Loss) $ 1,436 $ 890 $ 329 $ 269 $ 828 $ 790 Prior Year Book Variance $ 877 $ (5,516) $ (5,663) $ (16,289) $ (5,730) $ (4,039) Interest Earnings $ 287 $ 304 $ 325 $ 718 $ 727 $ 748 Yield -To -Maturity 1.40% 1.51 % 1.60% 3.18% 3.05% 3.08% Weighted Maturity (Days) 256 272 272 259 275 277 Effective Duration 0.24 0.26 0.28 0.29 0.28 0.30 *** Omits SLGSs. City of Palm Desert -- Portfolio Characteristics December 31, 2008 Dollars in Thousands Aaeina Interval Market Value < 1 M $ 54,134 < 2M 5,979 < 3M - < 6M - < 1YR 20,565 < 2YR 48,614 < 3YR 9,820 < 4YR - < 5YR - > 5YR - Total: $ 139,112 r General Fund Ageing t 100 80 0 c 60 .2 39 35 rf 0 40 20 - 15 4 7 0 0 0 f0 0 n 0H ^ , < 1 M <2M <3M <6M < 1YR < 2YR < 3YR < 4YR < 5YR > 5YR i Ratings * Market Value Credit Quality' AAA $ 131,184 AAA Unrated 67% AA 35,238 12% A 5,052 A Unrated ** 22,669 3% AA Total: $ 194,143 18% Sector Market Value Asset Allocation MTNs 31% MMF $ 34,759 Agencies 26,090 MTNs 60,196 Agencies CAMP 40,356 13% CAMP RDA Loan 22,656 23% GMRA 10,072 MMF LAIF 14 18% CID - GMRA RDA Loan 5% 12% Total: $ 194,143 Month Citv Yield LAIF Yield Jan08 4.72 4.62 Feb 4.31 4.16 Mar 4.05 3.78 Apr 3.98 3.40 May 3.88 3.07 Jun 3.75 2.89 Jul 3.69 2.88 Aug 3.65 2.78 Sep 3.70 2.77 Oct 3.27 2.71 Nov 3.04 2.57 Dec 2.87 2.35 Variance Performance 0.10 0.15 0.27 4.6 0.58 0.81 a 3.8 0.86 0.82 } 3.0 0.87 0.93 2.2 0.56 Jan08 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 0.47 0.52 ■€.hn Y, :: ■C .. 1 * Standard and Poors ** LAIF, and City Loan to RDA Page 2 I Par Value Medium -Term Notes $ 2,920,000 $ 3,795,000 $ 3,000,000 $ 15,270,000 $ 2,035,000 $ 1,000,000 $ 4,000,000 $ 2,035,000 $ 1,891,000 $ 2,000,000 $ 3,965,000 $ 3,080,000 $ 2,000,000 $ 2,000,000 $ 3,000,000 $ 4,000,000 $ 2,000,000 $ 2,020,000 $ 60,011,000 Issuer BANK OF AMERICA BANK OF AMERICA BANK OF AMERICA CITIGROUP CITIGROUP CITIGROUP CITIGROUP GENERAL ELECTRIC GENERAL ELECTRIC GENERAL ELECTRIC GENERAL ELECTRIC WACHOVIA WACHOVIA WAL-MART WAL-MART WELLS FARGO BANK WELLS FARGO BANK WELLS FARGO BANK Subtotal Federal Agencies -- Coupon City of Palm Desert Portfolio Holdings December 31, 2008 Coupon I Maturity 5.88 2/15/09 5.38 8/15/11 4.25 10/1/10 4.13 2/22/10 4.13 2/22/10 4.63 8/3/10 4.63 8/3/10 4.88 10/21/10 6.88 11/15/10 6.13 2/22/11 4.88 10/21/10 3.63 2/17/09 7.80 8/18/10 6.88 8/10/09 6.88 8/10/09 6.38 8/1/11 4.63 8/9/10 4.20 1/15/10 Market Cost YTM I Price Value $ 2,922,866 5.01 100.17 $ 2,925,107 $ 3,916,851 4.05 101.83 $ 3,864,263 $ 3,052,459 3.20 99.39 $ 2,981,772 $ 15,142,642 4.91 98.54 $ 15,047,439 $ 2,018,027 4.91 98.54 $ 2,005,340 $ 991,752 5.19 98.35 $ 983,509 $ 3,967,009 5.19 98.35 $ 3,934,036 $ 2,010,581 5.63 101.29 $ 2,061,325 $ 1,928,902 5.65 105.06 $ 1,986,762 $ 2,017,054 5.67 103.50 $ 2,069,996 $ 4,076,908 3.23 101.29 $ 4,016,291 $ 3,074,876 5.02 99.59 $ 3,067,366 $ 2,083,208 5.02 99.25 $ 1,985,016 $ 2,021,493 4.93 103.00 $ 2,059,922 $ 3,070,513 2.90 103.00 $ 3,089,883 $ 4,113,611 5.13 102.07 $ 4,082,884 $ 1,986,472 5.09 100.46 $ 2,009,196 $ 2,004,943 4.96 100.31 $ 2,026,270 $ 60,400,166 4.69 $ 60,196,376 $ 3,000,000 FED FARM CREDIT BANK 4.78 5/3/10 $ 3,006,255 4.61 105.22 $ 3,156,563 $ 3,000,000 FED FARM CREDIT BANK 4.78 5/3/10 $ 3,006,255 4.61 105.22 $ 3,156,563 $ 3,000,000 FED HOME LOAN BANK 4.38 9/11/09 $ 2,990,609 5.59 102.66 $ 3,079,688 $ 2,000,000 FED HOME LOAN BANK 3.50 11/3/09 $ 1,961,700 5.96 102.34 $ 2,046,875 $ 2,033,000 FED HOME LOAN MTG CORP 4.25 7/15/09 $ 2,026,815 4.87 102.03 $ 2,074,295 $ 2,049,000 FED HOME LOAN MTG CORP 4.00 12/15/09 $ 2,033,674 4.87 102.81 $ 2,106,628 $ 2,000,000 FED HOME LOAN MTG CORP 4.13 11/18/09 $ 1,987,959 4.88 102.71 $ 2,054,222 $ 2,062,000 FED HOME LOAN MTG CORP 4.13 7/12/10 $ 2,022,498 5.47 103.97 $ 2,143,836 $ 2,049,000 FED HOME LOAN MTG CORP 4.00 12/15/09 $ 2,021,583 5.50 102.81 $ 2,106,628 $ 2,000,000 FED NATIONAL MTG ASSOC 4.63 10/28/09 $ 1,996,161 4.88 103.06 $ 2,061,250 $ 2,000,000 FED NATIONAL MTG ASSOC 4.25 8/15/10 $ 1,963,261 5.47 105.19 $ 2,103,750 $ 25,193,000 Subtotal $ 25,016,769 5.13 $ 26,090,297 Local Agency Investment Pool $ 14,155 L.A.I . F. 0.00 1 /1 /09 $ 14,155 2.35 100.00 $ 14,155 $ 14,155 Subtotal $ 14,155 2.35 $ 14,155 Ratings Moody's I S&P Aa2 Aa2 Aa2 Aa 1 Aa1 Aa1 Aa1 Aaa Aaa Aaa Aaa Aa3 Aa3 Aa2 Aa2 Aa1 Aa1 Aa1 Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa Aaa U AA- AA- AA - AA AA AA AA AAA AAA AAA AAA A+ A+ AA AA AA- AA- AA- AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA AAA U "U" = Unrated Page 3 Par Value I Issuer I Coup Local Agency Investment Pool Total Investments and Cash $ 198,839,737 City of Palm Desert Portfolio Holdings December 31, 2008 o 1/1/09 $ 40,298,880 1.74 100.00 $ 40,298,880 1/1/09 $ 57,014 1.74 100.00 $ 57,014 $ 40,355,894 1.74 $ 40,355,894 1/1/09 $ 34,759,159 0.09 100.00 $ 34,759,159 $ 34,759,159 0.09 $ 34,759,159 1/1/09 $ 10,072,152 1.75 100.00 $ 10,072,152 $ 10,072,152 1.75 $ 10,072,152 1/1/39 $ 22,655,000 2.35 100.00 $ 22,655,000 $ 22,655,000 2.35 $ 22,655,000 $ 193,273,296 2.87 $ 194,143,033 1/1/09 $ 4,665,882 0.00 100.00 $ 4,665,882 1/1/09 $ 809,225 0.00 100.00 $ 809,225 1/1/09 $ 304,270 0.00 100.00 $ 304,270 1/1/09 $ - 0.00 100.00 $ - 1/1/09 $ - 0.00 100.00 $ - $ 5,779,376 $ 5,779,376 $ 199,052,672 $ 199,922,410 Ratings Moody's I S&P U AAA U AAA Aaa AAA U U U U U U U U U U U U U U "U" = Unrated Page 4 City of Palm Desert Portfolio Holdings December 31, 2008 IPar Value I Issuer I Coupon I Maturity I Cost % of Portfolio Corporate Issuers (Market Value) BANK OF AMERICA 4.89% CITIGROUP 10.99% GENERAL ELECTRIC 5.07% WACHOVIA 2.53% WAL-MART 2.58% WELLS FARGO BANK 4.06% % of Portfolio Agency Issuers (Market Value) FED FARM CREDIT BANK 3.16% FED HOME LOAN BANK 2.56% FED HOME LOAN MTG CORP 5.24% FED NATIONAL MTG ASSOC 2.08% Market Ratings YTM I Price I Value ' Moody's I S&P "U" = Unrated Page 5 Palm Desert Redevelopment Agency -- Portfolio Characteristics December 31, 2008 Dollars in Thousands Acieino Interval Market Value < 1 M $ 32,186 < 2M - < 3M 11,074 < 6M - < 1YR 18,149 < 2YR 27,905 < 3YR 4,208 < 4YR - < 5YR - > 5YR - Total: $ 93,522 Quality * Market Value AAA $ 218,131 AA 23,811 A 10,127 Unrated '* 32 Total: $ 252,101 Sector Market Value MMF $ 155,905 Agencies 30,911 MTNs 33,938 CAMP 21,254 GMRA 10,061 LAIF 32 CP - Treasuries - Total: $ 252,101 Month Jan08 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Portfolio Ageing w/o SLGSs 1 100 90 80 70 c 60 50 ° 40 34 30 a 19 30 1 20 2 10 0 I --I 0 4 0 0 0 0 ^ <1M <2M <3M <6M < 1YR < 2YR < 3YR < 4YR < 5YR > 5YR �I Credit Quality I 1 i Asset Allocation AAA O 87% A 4% AA 9% MMF 62% GMR 4% CAMP MTNs 8% 14% Agencies 12% i Performance RDA Yield LAIF Yield Variance 4.45 4.62 -0.17 3.78 4.16 -0.38 5.0 3.36 3.78 -0.42 3.35 3.40 -0.05 4.0 = _ 3.14 3.07 0.06 0 3.09 2.89 0.20 3.0 m 3.08 2.79 0.29 r 2.0 - - 3.05 2.78 0.27 3.18 2.77 0.41 1.0 1.60 2.71 -1.11 Jan08 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 1.51 2.57 -1.06 1.40 2.35 -0.95 ®LAIF Yield ®RDA Yield i Standard and Poors LAIF Page 6 Palm Desert Redevelopment Agency Portfolio Holdings December 31, 2008 Market Ratings Par Value I Issuer l Couponj Maturity l Cost YTM Price Value Moody's I S&P Medium -Term Notes $ 4,000,000 CITIGROUP 6.20 3/15/09 $ 4,008,216 5.13 99.57 $ 3,982,904 Aa1 AA- $ 4,070,000 JP MORGAN CHASE 3.50 3/15/09 $ 4,057,290 5.12 100.01 $ 4,070,395 Aa3 A+ $ 3,055,000 JP MORGAN CHASE 3.50 3/15/09 $ 3,045,460 5.12 100.01 $ 3,055,296 Aa3 A+ $ 3,000,000 JP MORGAN CHASE 6.00 1/15/09 $ 3,003,424 3.00 100.04 $ 3,001,083 Aa3 A+ $ 3,000,000 WAL-MART 6.88 8/10/09 $ 3,036,405 4.76 103.00 $ 3,089,883 Aa2 AA $ 3,000,000 WAL-MART 4.13 7/1/10 $ 3,052,432 2.91 102.36 $ 3,070,797 Aa2 AA $ 13,625,000 WELLS FARGO BANK 4.20 1/15/10 $ 13,788,769 3.00 100.31 $ 13,667,291 Aa1 AA- $ 33,750,000 Subtotal $ 33,991,995 4.69 $ 33,937,649 Federal Agencies -- Coupon $ 2,000,000 FED FARM CREDIT BANK 6.45 10/7/09 $ 2,021,762 4.88 104.47 $ 2,089,488 Aaa AAA $ 2,000,000 FED FARM CREDIT BANK 4.75 8/3/09 $ 1,998,709 4.87 102.53 $ 2,050,625 Aaa AAA $ 4,900,000 FED FARM CREDIT BANK 4.90 9/22/10 $ 4,920,237 4.65 106.53 $ 5,220,031 Aaa AAA $ 4,500,000 FED HOME LOAN BANK 4.38 9/11/09 $ 4,485,914 5.59 102.66 $ 4,619,531 Aaa AAA $ 2,005,000 FED HOME LOAN BANK 3.88 7/24/09 $ 1,994,563 4.89 101.88 $ 2,042,594 Aaa AAA $ 2,000,000 FED HOME LOAN BANK 4.88 3/11/11 $ 1,974,667 5.49 107.75 $ 2,155,000 Aaa AAA $ 2,000,000 FED HOME LOAN BANK 4.88 3/11/11 $ 1,974,330 5.50 107.75 $ 2,155,000 Aaa AAA $ 2,000,000 FED HOME LOAN MTG CORP 6.88 9/15/10 $ 2,040,089 5.54 109.06 $ 2,181,250 Aaa AAA $ 3,734,000 FED HOME LOAN MTG CORP 6.88 9/15/10 $ 3,808,983 5.54 109.06 $ 4,072,394 Aaa AAA $ 4,155,000 FED NATIONAL MTG ASSOC 6.63 9/15/09 $ 4,201,040 4.89 104.09 $ 4,325,095 Aaa AAA $ 29,294,000 Subtotal $ 29,420,295 5.13 $ 30,911,008 Local Government Investment Pool $ 21,653 L.A.I.F. 0.00 1/1/09 $ 21,653 2.57 100.00 $ 21,653 U U $ 9,893 L.A.I.F. (HOUSING) 0.00 1/1/09 $ 9,893 2.57 100.00 $ 9,893 U U $ 31,546 Subtotal $ 31,546 2.57 $ 31,546 Local Government Investment Pool $ 19,155,173 C.A.M.P. 0.00 1/1/09 $ 19,155,173 1.74 100.00 $ 19,155,173 U AAA $ 2,098,338 C.A.M.P. (HOUSING) 0.00 1/1/09 $ 2,098,338 1.74 100.00 $ 2,098,338 U AAA $ 21,253,511 Subtotal $ 21,253,511 1.74 $ 21,253,511 Government Managed Rate Account $ 10,060,908 UNION BANK 0.00 1/1/09 $ 10,060,908 1.75 100.00 $ 10,060,908 U U $ 10,060,908 Subtotal $ 10,060,908 1.75 $ 10,060,908 Money Market Fund $ 155,905,238 WF TREASURY PLUS 0.00 1/1/09 $ 155,905,238 0.09 100.00 $ 155,905,238 Aaa AAA $ 155,905,238 Subtotal $ 155,905,238 0.09 $ 155,905,238 "U" = Unrated Page 7 Palm Desert Redevelopment Agency Portfolio Holdings December 31, 2008 Par Value I Issuer Total Investments $ 250,295,203 Cash $ 802,055 HOUSING AUTH CHKG $ 386,085 HOUSING AUTH TRUST $ 1,188,140 Subtotal Total Investments and Cash $ 251,483,343 Corporate Issuers CITIGROUP JP MORGAN CHASE WAL-MART WELLS FARGO BANK Market Ratings Coupon] Maturity I Cost I YTM I Price I Value Moody'sI S&P $ 250,663,492 1.40 $ 252,099,860 0.00 1/1/09 $ 802,055 0.00 100.00 $ 802,055 0.00 1/1/09 $ 386,085 0.00 100.00 $ 386,085 $ 1,188,140 $ 1,188,140 Agency Issuers FED FARM CREDIT BANK FED HOME LOAN BANK FED HOME LOAN MTG CORP FED NATIONAL MTG ASSOC $ 251,851,633 % of Portfolio (Market Value) 1.57% 4.00% 2.43% 5.40% % of Portfolio (Market Value) 3.70% 4.33% 2.47% 1.71 % $ 253,288,001 U U U U "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 December 31, 2008, 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 January 27, 2008, Pis 67dV �, C. C.,y 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% 12.9% 11.7% 53601(f) Bankers's Acceptances 180 Days 40% 180 Days 40% A-1 & P-1 - - 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 31.3% 13.6% 53601(k) Mutual Funds 90 Days 20% AAA & Aaa 90 Days 20% (2)' AAA & Aaa, 18.0% 62.2% 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 26.1 % 12.5% 53601(n) Mortgage -Backed 5 Years 20% A (Issuer) & Not Authorized Securities AA (SecurityI LAIF No Limit No Limit 0.0% 0.0% (1) The City loan to RDA, which is not a bond, has been approved by the Palm Desert City Council. ' 88.3% �� 100.0% (2) Maximum limit for mutual funds and local government investment pools, excluding bond proceeds Certified California Municipal Treasurer Page 9