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HomeMy WebLinkAbout06C Investment Report - Nov 2011City of Palm Desert City and Redevelopment Agency Portfolios COMPLIANCE ANALYSIS AND INVESTMENT REPORT November 30, 2011 Paul S. Gibson, C.C.M.T., Treasurer Thomas W. Jeffrey, J.D., M.B.A., Deputy City Treasurer Treasurer's Commentary On November 30, the Federal Reserve; the European Central Bank (ECB); the Bank of Canada; the Bank of England; the Bank of Japan; and the Swiss National Bank undertook a coordinated action to help struggling European banks rollover $2 trillion of dollar -denominated debt. A liquidity crisis was developing due to high bank -borrowing costs for dollars. About the same time, Standard & Poors (S&P) did a review of 37 global banks, and downgraded most of them. Rabobank Nederland lost its "AAA" rating. Bank of America, Citibank, J.P. Morgan Chase, and Wells Fargo were also downgraded. Union Bank's credit ratings remained intact. A European Summit was held in mid -December, but no solutions to the European debt crisis emerged. France and Germany, however, were successful in convincing the other 15 Eurozone countries that they should integrate their national budgets in exchange for more direct ECB support. Germany is reportedly preparing to bail out its second-largest bank, Commerzbank, and preparing for the bankruptcy of several Eurozone countries that are too big to be bailed out. S&P has put 15 (including France and Germany) of 17 Eurozone countries on review for possible credit -rating downgrades. An IMF report forecast that Canadian economic growth would slow to 1.9% in 2012. The report stated that while Canada has relatively little exposure to European sovereign debt, it does have high household debt levels and elevated housing prices. C. C.,y r. City Treasurer PORTFOLIO STATISTICS Dollars in Thousands NOV-11 OCT-11 SEP-11 AUG-11 JUL-11 JUN-11 CITY Month -End Book Value*"* $ 193,616 $ 195,884 $ 205,053 $ 206,655 $ 207,383 $ 223,281 Month -End Market Value`** $ 193,635 $ 195,904 $ 205,075 $ 206,683 $ 207,415 $ 223,342 Paper Gain (Loss) $ 19 $ 20 $ 22 $ 28 $ 32 $ 61 Prior Year Book Variance $ (7,765) $ 3,188 $ 9,325 $ 382 $ 9,505 $ 21,349 Interest Earnings 68 70 80 91 122 131 Yield -To -Maturity 0.44% 0.43% 0.49% 0.49% 0.67% 0.72% Weighted Maturity (Days) 30 14 23 22 77 79 Effective Duration 0.05 0.01 0.24 0.02 0.02 0.02 RDA Month -End Book Value *** $ 212,668 $ 212,996 $ 226,792 $ 240,274 $ 247,803 $ 236,903 Month -End Market Value *** $ 212,845 $ 213,194 $ 227,006 $ 240,529 $ 248,063 $ 237,195 Paper Gain (Loss) $ 177 $ 198 $ 214 $ 255 $ 260 $ 292 Prior Year Book Variance $ (49,066) $ (29,877) $ (31,107) $ (36,071) $ (50,709) $ (65,660) Interest Earnings 95 97 87 117 114 122 Yield -To -Maturity 0.53% 0.54% 0.56% 0.58% 0.56% 0.63% Weighted Maturity (Days) 214 242 228 215 208 218 Effective Duration 0.27 0.28 0.27 0.28 0.28 0.31 *** Omits SLGSs. Dollars in Thousands Aaeina Interval <1M < 2M < 3M < 6M < 1YR < 2YR < 3YR < 4YR < 5YR > 5YR Total: Ratings AAA AA A Unrated ** Total: Sector MMF Agencies MTNs CAMP LAIF County Pool Rabobank RDA Loan LAIF/Bond Proceeds Total: City of Palm Desert -- Portfolio Characteristics November 30, 2011 Market Value $ 141,966 3,020 4,713 $ 149,699 Market Value $ 96,455 4,317 88,844 $ 189,616 Market Value $ 4,270 3,019 4,713 8,521 49,967 80,199 50 13,555 25,322 $ 189,616 General Fund Ageing 100 _95....____...._._...._..__.__.._...-- _- R 80 ° 60 - 0 40 - a i 20 - ! 0 0 0 2 3 0 0 0 01 0 11M <2M <31A <610 <1YR<2YR<3YR<4YR<VR>5YR Credit QualitA AAA A 0% 51% AA 2% Unrated 47% Asset Allocation Rabobank 0% LAIF County Pool 26% 42% Month Citv Yield LAIF Yield Variance Performance Dec10 0.72 0.46 0.26 Jan11 0.66 0.54 0.12 Feb 0.56 0.51 0.05 Mar 0.54 0.50 0.04 Apr 0.76 0.59 0.17 0 May 0.71 0.41 0.30 :o Jun 0.72 0.45 0.27 T- Jul 0.67 0.38 0.29 Aug 0.49 0.41 0.08 Sep 0.49 0.41 0.08 Oct 0.43 0.39 0.05 Nov 0.44 0.40 0.04 CAMP 5% MTNs RDA Loan ° 7 Agencies/o MMF LAIF/Bond ° 2% 2% Proceeds 13% 0.8 i 0.6 f 0.4 I 0.2 , 0.0 .. Oec10an11 Feb IMar Apr May Jun Jul Aug Sep Oct Nov Le - a * Standard and Poors ** LAIF, and City Loan to RDA Page 2 Dollars in Thousands Aaeina Interval <1M < 2M < 3M < 6M < 1YR < 2YR < 3YR < 4YR < 5YR > 5YR Total: Quality AAA AA A Unrated '* Total: Sector MMF Agencies MTNs CAMP County Pool Rabobank Palm Desert Redevelopment Agency -- Portfolio Characteristics November 30, 2011 Market Value $ 62,713 18,724 4,974 2,790 $ 89,201 Market Value $ 46,517 6,593 158,350 $ 211,460 Market Value $ 2,773 23,077 6,593 13,103 7,514 50 i Portfolio Ageing w/o SLGSs 100 -__...._._._....._....-._...__..._,..._._... __._ _.._. _ .. _ __... i 80 - 70 .o0 60 - a 40 21 20 - 0 0 0 6 0 0 0 3 0 11M <21V! <31VI <61M<WR<2YR<3YR<VR<5YR>5YR Credit Quality AA 3% A ��\ j Asset Allocation AAA 22% LAIF EIP County Pool 18% 1 % CAMP 6% MTNs 3% Unrated ** 75% Rabobank 0% Agencies LAIF 37,691 11 %11�LAIF/Bond EIP 2,790 j MMF Proceeds LAIF/Bond Proceeds 117,869 1% 56% Total: $ 211,460 Month RDA Yield LAIF Yield Variance Performance Dec10 0.60 0.46 0.14 Jan11 0.68 0.54 0.14 0.8 Feb 0.71 0.51 0.20 j Mar 0.61 0.50 0.11 0.6 - j Apr 0.73 0.59 0.14 May 0.62 0.41 0.21 0.4 Jun 0.63 0.45 0.18 } Jul 0.67 0.38 0.29 0.2 - Aug 0.58 0.41 0.17 0.0 Sep 0.56 0.41 0.15 Dec10an11 Feb TMar TApr May Jun Jul Aug Sep Oct Nov Oct 0.54 0.39 0.16 � ®LAIFYield ORDAYield Nov 0.53 0.40 0.13 i_ _-- __ Standard and Poors ** LAIF Page 3 \ 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 November 30, 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 December 27, 2011, )9au,�s CC.Al r. 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/Mdys Portfolio Portfolio 53601(a) Palm Desert Bonds 5 Years No Limit - 1.3% 53632(c) Savings Accounts No Limit No Limit No Limit No Limit 0.0% 0.0% 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 30% 6% 1.6% 10.9% 53601(f) Bankers's Acceptances 180 Days 40% 180 Days 40% A-1 & P-1 1 - - 53601(g) 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% IAA-orAa3 - - 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 0 30% A 5 Years 120% 30 A 0/o IAAA&Aaal .0/0 .0/o 25 31 53601(k) Mutual Funds 90 Days 20% AAA & Aaa 90 Days (2) 2.3% 1.3% 53601(I) Trust Indenture Debt Not Authorized 53601(m) Secured Bank Deposits 5 Years No Limit Not Authorized 53601(k) Local Government AAA & Aaa ( I AAA & Aaa I Investment Pools 90 Days 20% or Advisor 90 Days 20% (2) or Advisor 46.80% 9.8% 53601(n) Mortgage -Backed 5 Years 20% A (Issuer) & Not Authorized Securities AA (Security) 16429.1(b) LAIF No Limit No Limit I 39.7% 73.6% (1) The City loan to RDA, which is not a bond, has been approved by the Palm Desert City Council. 92.9% 100.0% (2) The City Energy Independence Program has been approved by the Palm Desert City Council. 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