Anaheim s Portfolio Balances
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- Wilfred Knight
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1 Impact on Cash Management and Investment Strategies Henry Stern, CTP City Treasurer City of Anaheim C.M.T.A. San Diego April 21, 2011
2 Elements of a Portfolio Management Program Investment Policy Return on Investment Diversification Cash Flow 4/21/2011 City Treasurer, City of Anaheim 2
3 Elements of a Portfolio Management Program Order of Priority: Cash Flow - Diversification - Liquidity Risk Mitigation / Safety Return on Investment - Yield 3
4 Cash Flow Ensures you have funds to pay the bills Issues that affect Cash Flow Budgetary Economic Environment Political Agendas 4
5 Anaheim s Portfolio Balances $700 $600 Monthly Portfolio Balance (market value in $mm) December 2006 to December 2010 $500 $400 $300 $200 $100 $0 Dec-06 Jun-07 Dec-07 Jun-08 Dec-08 Jun-09 Dec-09 Jun-10 Dec-10 5
6 Investment Management Focus: Safety Liquidity Yield 6
7 Risk Factors for Fixed Income Investors Credit Risk Absence of Diversification Interest Rate Risk Reinvestment Risk Inflationary Risk Duration of Portfolio 7
8 Safety = Risk Mitigation Diversification ifi by: Security Classification Issuer Maturity Date Dollar Amount of Investment Credit Rating / Quality 8
9 Diversification by Securities / Issuers Short-Term: L.A.I.F. Money Markets Treasury Bills Agency Discount Notes Commercial Paper / Bankers Acceptances Repurchase Agreements Time Certificates of Deposits Negotiable Certificates of Deposits 9
10 Diversification by Securities / Issuers Long -Term: U.S. Treasury Notes / Bonds Federal Agency Notes / Bonds Medium Term Corporate Notes (MTNs) Asset Backed Securities Mortgage Backed Securities Mutual Funds (Bond) Certificates of Deposits 10
11 Diversification: by Maturity / Duration Portfolio Structure Laddered Bar Bell Modified Laddered Two Portfolio Structure 11
12 Laddered Portfolio $20,000,000 $15,000,000 $10,000,000 $5,000,000 $0 12
13 Bar Bell Portfolio $40,000,000 $35,000,000 $30,000, $25,000,000 $20,000,000 $15,000,000 $10,000,000 $5,000,000 $0 13
14 Modified Laddered Portfolio $25,000,000 $20,000,000 $15,000,000 $10,000, $5,000,000 $0 14
15 Two Part Portfolio Structure $100,000,000 $80,000,000, City of Anaheim February 28, 2011 $60,000,000 $40,000, $20,000,000 $0 15
16 Interest Rate Risk Market Rates U.S. Treasury Yield Curve - February 28, % 450% 4.50% 4.00% 3.50% 3.00% 300% 2.50% 2.00% 1.50% 1.00% 0.50% 0.00% 4.50% 3.43% 284% 2.84% 2.14% 117% 1.17% 0.25% 0.68% 0.14% 0.16% Fed 3mo 6mo 2yr 3yr 5yr 7yr 10 yr 30 yr Funds 16
17 2 Year Treasury Notes February 2007 and February % 5.00% 5.25% 5.13% 511% 5.11% 4.65% 4.56% 4.52% 4.56% 4.57% 4.68% 4.00% 4.50% 3.00% 2.00% 2.14% 2.84% 3.43% 1.00% 0.00% 0.25% 0.14% 0.16% 0.68% 1.17% Fed Funds 3 mo 6 mo 2 yr 3 yr 5 yr 7 yr 10 yr 30 yr 17
18 2 Year Treasury Historical Interest Rates February 2007 to February % 5.00% 4.00% 300% 3.00% 2.00% 1.00% 0.00% 18
19 Risk Factors for Fixed Income Investors Credit Risk Absence of Diversification Interest Rate Risk Reinvestment Risk Inflationary Risk Duration of Portfolio 19
20 Duration: Is a measure of a bond s price sensitivity to changes in interest rates. General Rule: Assume the duration of a bond is 5.0 years. If the yield yed on the bond were e to change by 100 basis points (1.0%), the price of the bond would change by approximately 5.0% 20
21 Duration: Impact on the Price of a Single Security Par Value Security Duration Market Interest Rate Change Security Price Change Dollar Price Change $ 1,000,000 2 years 1.00 % 2.00 % $ 20,000 $ 5,000,000 2 years 1.00 % 2.00 % $100,000 $10,000,000 2 years 1.00 % 2.00 % $200,000 $ 1,000,000 5 years 1.00 % 5.00 % $ 50,000 $ 5,000,000 5 years 1.00 % 5.00 % $250,000 $10,000,000 5 years 1.00 % 5.00 % $500,000 21
22 City of Anaheim Duration Two Year Treasury to Portfolio Duration 2 Y e a r T r e a s u r y 6.00% 5.00% 4.00% 3.00% 2.00% 1.00% 0.00% P D o u r r t a f t o i l o i o n 2 yr Avg Wgt Mat. - Yrs 22
23 City of Anaheim Historical Yield to Duration February 2007 to February 2011 P o r t f o l i o Y i e l d 6.00% 2.50 P o D 5.00% u 2.00 r r t 4.00% a f 1.50 t o i 300% 3.00% l o i 1.00 n o 2.00% 100% 1.00% 0.00% Portfolio Yield 23
24 Two Part Portfolio Structure $100,000,000 $80,000,000 City of Anaheim February 28, 2011 $60,000,000 $40,000, $20,000,000 $0 24
25 City of Anaheim Investment Summary - February 2011 Short-term Long-term Total Portfolio Portfolio Portfolio Values Portfolio Balance (Market Value) $ 104,729,248 $ 236,419,373 $ 341,248,622 Effective e Yield 035% % % 1.93 Avg. Weighted Maturity 10 days 2.2 years 1.5 years Net Earnings $ 28,858 $507,357 $ 536,215 Benchmark * 0.07 % 0.72 % 0.42 % * Benchmark value is the Interpolated Treasury Yield to the Portfolio s Avg. Weighted Maturity 25
26 City of Anaheim Investment Performance - February 2011 Amount of Funds (Market Value) Maturity Effective Yield Inter- polated Yield Total Return Monthly Total Return Annual Short-term Portfolio $ 104,829, days 0.35 % 0.07 % Long-term Portfolio $ 236,419, years 2.61 % 0.72 % Total Portfolio $ 341,248, years 193% % Please note the use of interpolated yield values and total return values are guidelines and not used in the performance evaluation of the portfolio 26
27 City of Anaheim Historical Portfolio Statistics Month Portfolio Balance Avg. Wgt Maturity Effective Yield Inter-polated Yield Diff: City to IY Jun 10 $ 383 mm 1.47 years 1.87 % 0.45 % 1.42 % Jul 10 $ 365 mm 1.45 years 1.83 % 0.41 % 1.42 % Aug 10 $359 mm 1.41 years 1.86 % 0.35 % 1.51 % Sep 10 $ 346 mm 1.37 years 1.87 % 0.30 % 1.57 % Oct 10 $ 320 mm 1.42 years 1.92 % 0.25 % 1.66 % Nov 10 $ 319 mm 1.37 years 191% % % 1.57 Dec 10 $ 316 mm 1.29 years 1.90 % 0.35 % 1.54 % Jan 11 $ 342 mm 1.48 years 1.88 % 0.39 % 1.49 % Feb 11 $341 mm 1.50 years 1.93 % 0.42 % 1.50 % 27
28 Resources for Investment Information: o Investing Public Funds, Girard Miller, GFOA o The Strategic Bond Investor, Anthony Crescenzi o Bond and Money Market Investments, Frank Fabozzi o Investment Mathematics For Finance and Treasury Professionals, Gregory Kitter o Getting Started in Bonds, Sharon Saltzgiver Wright o Treasury Management, GFOA newsletter o Investment Outlook, PIMCO, Bill Gross 28
29 Additional Resources: GIOA CDIAC CMTA CSMFO AFP Professional Peers 29
30 Questions??? Contact information: net 30
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