CITY OF SIMI VALLEY MEMORANDUM SUBJECT: APPROVAL OF THE MONTHLY INVESTMENT REPORT FOR THE MONTH ENDING APRIL 30, 2016

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1 MEMORANDUM AGENDA ITEM NO. Consent (2) TO: FROM: City Council Department of Administrative Services May 16, 2016 SUBJECT: APPROVAL OF THE MONTHLY INVESTMENT REPORT FOR THE MONTH ENDING APRIL 30, 2016 The City has contracted with an investment advisory firm, Cutwater Asset Management ( Cutwater ). As part of the City s agreement with Cutwater, they prepare the Monthly Investment Report. Data provided by Cutwater is attached. Information contained in that report is summarized below: Percentage of the portfolio represented by each investment category: o Cash and Cash Equivalents: 48% o U.S. Treasury: 17% o U.S. Agencies: 35% A listing of individual securities held at the end of the reporting period by authorized investment category includes the type of investment, name of the issuer, security or certificate number, coupon, discount, or earnings rate; (shown under Rate/Coupon for each investment listed). Weighted Average Maturity of Advisor Managed Investments: 1.54 years Weighted Average Yield on Advisor Managed portfolio:.85%. The fair market value of a portfolio invested in debt securities changes from month to month and typically moves in the opposite direction of the change in interest rates demanded by the marketplace for the period in question. For example, annualized Treasury Yield Curve Rates for three-year treasury notes increased from.87% on March 31, 2016 to.92 % on April 29, A Fixed Income Market Review through April 30, 2016 is included to provide the current economic conditions. The fair market value of all investments as of April 30, 2016 held by the City (excluding investments held by bond trustee): $125,213,544. The portfolio is in compliance with the City s Statement of Investment Policy. The City has sufficient liquidity to meet expenditure requirements for at least the next six months. Prepared by: Laila Asgari, Senior Management Analyst Jody Kershberg, Director/Deputy City Treasurer Department of Administrative Services

2 2 City of Simi Valley Monthly Consolidated Portfolio Report April 30, 2016 City Managed Assets % Return CAMP $ 4,813,160 4% 0.48% LAIF $ 55,385,988 44% 0.53% Total Internally Managed $ 60,199,148 48% CAMP, 4% Weighted Average Yield 0.53% Days Effective Average Duration Internal 1 Weighted Average Maturity Internal 1 LAIF, 44% Advisor Managed Assets % Return Treasury Securities $ 21,010,706 17% 0.78% Instrumentality Securities $ 44,003,690 35% 0.89% Total Externally Managed $ 65,014,396 52% Treasury Securities, 17% Weighted Average Yield 0.85% Years Effective Average Duration External 1.17 Weighted Average Maturity External 1.54 Instrumentality Securities, 35% Total Portfolio Assets % Return CAMP $ 4,813,160 4% 0.48% LAIF $ 55,385,988 44% 0.53% Treasury Securities $ 21,010,706 17% 0.78% Instrumentality Securities $ 44,003,690 35% 0.89% Total Portfolio Assets $ 125,213,544 Instrumentality Securities 35% CAMP 4% LAIF 44% Weighted Average Yield 0.70% Years Effective Average Duration Total 1.09 Weighted Average Maturity Total 1.28 Treasury Securities 17% Portfolio Change Beginning Balance Ending Balance $ $ 114,674, ,213,544 * Note: All data for external assets was provided by the client and is believed to be accurate. Insight Investment does not manage the external assets and this report is provided for the client's use. Market values are presented.

3 FIXED INCOME MARKET REVIEW Chart 1: Gross Domestic Product 3/31/2006 3/31/2016 Source: Bloomberg Finance LP, March 31, Chart 2: Treasury Yield Curves 3/31/2016 4/30/2016 Source: Bloomberg Finance LP, March 31, 2016, April 30, Economic Indicators & Monetary Policy: According to its initial estimate, Gross Domestic Product (GDP) grew at a 0.5% rate during the first quarter of 2016 (See Chart 1). Economic growth was slower than expected as the drop in oil prices paired with the strong US dollar led to weakened output for the energy and manufacturing sectors. In addition, many Americans chose not to spend the savings they received as a result of lower fuel s, and the savings rate increased to 5.2% from 5.0% in the first quarter. First quarter GDP will be estimated twice more over the next two months. There were signs of growth in the Institute for Supply Management (ISM) indices in March. For the first time since September 2015, the ISM manufacturing index was above 50, indicating economic expansion, and the ISM nonmanufacturing index grew for the first time since October 2015, increasing to 54.5 from Job growth continued its strong and steady trend as 195,000 jobs were added to the labor force in March. The unemployment rate increased slightly to 5.0% from 4.9% as more workers entered the labor force. Participation in the labor force increased to 63.0% from 62.9% marking six straight months of increasing labor force participation. Wage inflation also showed signs of strength as hourly earnings increased 0.3% and 2.3% on a month-over-month and year-over-year basis, respectively. Inflation indicators underperformed in March, as the Producer Price Index (PPI) including food and energy fell 0.1% on a month-over-month basis, compared to analyst estimates of 0.2% growth. The core PPI on a month-over-month basis also fell 0.1%, while analysts forecasted a 0.1% increase. Similar trends were seen in the Consumer Price Index (CPI) as the headline and core CPI both increased 0.1% compared to expectations of 0.2% growth. Housing data was mixed in March as housing starts and new home sales decreased by 8.8% and 1.5%, respectively. Existing home sales, however, rebounded with a 5.1% increase in March. Existing home sales are measured at the date of closing, while new home sales are measured when the transaction contract is signed. Home prices continue to rise, although the pace of price appreciation has declined according to the Case/Schiller Index, which increased 5.38% in March compared to a 5.75% increase in February. Once again, the Federal Open Market Committee (FOMC) voted to maintain its target interest rate at %. The FOMC remains cautious on the economy, but projects two interest rate increases in Yield Curve & Spreads: At the end of April, the 3-month US Treasury bill yielded 0.21%, the 6-month US Treasury bill yielded 0.38%, the 2-year US Treasury note yielded 0.78%, the 5-year US Treasury note yielded 1.29%, and the 10-year US Treasury note yielded 1.83% (See Chart 2). 3

4 ACTIVITY AND PERFORMANCE SUMMARY For the period April 1, April 30, 2016 Fair Value Basis Activity Summary Opening balance 65,029, Income received 15, Total receipts 15, Total disbursements 0.00 Interportfolio transfers (15,600.00) Total Interportfolio transfers (15,600.00) Unrealized gain (loss) on security movements 0.00 Return of capital 0.00 Change in fair value for the period (15,182.00) Ending fair value 65,014, Detail of Fair Value Basis Return earned Change in fair value Total income Government Agencies 32, (19,478.00) 13, Government Bonds 12, , , Total 44, (15,182.00) 29, Comparative Rates of Return (%) * Twelve month trailing * Six month trailing * One month Fed Funds Overnight Repo Merrill Lynch 3m US Treas Bill Merrill Lynch 6m US Treas Bill ML 1 Year US Treasury Note ML US Treasury ML US Treasury (0.01) Summary of Fair Value Basis Return for the Period Total portfolio earned 44, Change in fair value (15,182.00) Total income on portfolio 29, Average daily total value * 65,138, Period return (%) 0.05 YTD return (%) 0.85 Weighted average final maturity in days 563 * rates reflected are cumulative * Total value equals market value and accrued interest

5 RECAP OF SECURITIES HELD Historical Amortized Fair value Unrealized gain (loss) Weighted average final maturity (days) Percent of portfolio Weighted average effective duration (years) Government Agencies 44,026, ,017, ,003, (14,028.58) Government Bonds 20,949, ,969, ,010, , Total 64,976, ,986, ,014, , Portfolio diversification (%) Government Agencies Government Bonds 32.24

6 MATURITY DISTRIBUTION OF SECURITIES HELD Maturity Historic Percent Under 90 days 6,000, to 179 days 6,000, days to 1 year 9,021, to 2 years 40,956, to 3 years 2,997, to 4 years 4 to 5 years Over 5 years 64,976, Maturity distribution

7 SECURITIES HELD Cusip/ Description Government Agencies Coupon Maturity/ Call date Par value or shares Historical / Accrued interest purchased Amortized / Accretion (amortization) Fair value/ Change in fair value Unrealized gain (loss) received earned Total accrued interest % Port 3134G55R /21/2017 2,000, ,002, ,001, FREDDIE MAC 0.65% 21/02/ (141.05) 2,001, , , ECAL /19/2017 3,000, ,000, ,000, FEDERAL FARM CREDIT BANK 0.73% 19/06/2017 (CALLABLE 12/05/16) 3,000, (90.00) 9 1, , G7MJ /25/2017 3,000, ,000, ,000, FREDDIE MAC 0.75% 25/08/ (28.75) 2,999, (3,600.00) (995.21) , , G44N /28/2017 3,000, ,000, ,000, FREDDIE MAC 0.75% 28/11/2017 CALLABLE 3133EC7A /12/2017 5,000, ,000, ,000, FEDERAL FARM CREDIT BANK 0.82% 12/12/2017 (CALLABLE 12/05/16) 2,996, (990.00) 4,995, (1,250.00) (3,390.00) , , (4,700.00) , , G0SW /27/2017 3,000, ,000, ,000, FANNIE MAE 0.875% 27/12/2017 (CALLABLE 27/06/16) 06/27/2016 2,994, (4,830.00) (5,820.00) , , A3YY /26/2018 3,000, ,009, ,006, FEDERAL HOME LOAN BANK 1% 26/01/2018 # (322.39) 3,009, (960.00) 3, , , G0TV /30/2018 3,000, ,000, ,000, FANNIE MAE 1.03% 30/01/2018 (CALLABLE 30/07/16) 07/30/2016 2,994, (5,730.00) (5,490.00) , , ECHS /12/2018 5,000, ,000, ,000, FEDERAL FARM CREDIT BANK 1.03% 12/03/2018 (CALLABLE 12/05/16) 4,995, (1,700.00) (4,850.00) , ,

8 SECURITIES HELD Cusip/ Description Government Agencies Coupon Maturity/ Call date Par value or shares Historical / Accrued interest purchased Amortized / Accretion (amortization) Fair value/ Change in fair value Unrealized gain (loss) received earned Total accrued interest % Port 3136G1G /13/2018 2,000, ,016, ,010, FANNIE MAE 1.25% 13/03/2018 CALLABLE # (475.30) 2,013, (1,380.00) 3, , , JJ /02/2018 3,000, ,000, ,000, FEDERAL HOME LOAN BANK 1.04% 02/04/2018 (CALLABLE 12/05/16) 3,000, (18.00) , , , G1KD /30/2018 3,000, ,000, ,000, FANNIE MAE 1% 30/04/2018 (CALLABLE 30/07/16) # /30/2016 3,000, , , G1KV /15/2018 3,000, ,000, ,000, FANNIE MAE 0.875% 15/05/2018 (CALLABLE 15/05/16) 05/15/2016 3,000, (150.00) 3 2, , A5BK /29/2018 3,000, ,997, ,998, FEDERAL HOME LOAN BANK 1% 29/06/2018 # ,002, , , , Total Government Agencies 44,000, ,026, ,017, ,003, (14,028.58) 15, , Government Bonds 0.00 (909.94) (19,478.00) 113, G /30/2016 2,000, ,997, ,999, USA TREASURY 0.5% 30/11/ ,000, , , H /31/2017 2,000, ,995, ,998, USA TREASURY 0.5% 31/01/ ,999, , , , SM /31/2017 3,000, ,026, ,011, USA TREASURY 1% 31/03/ (1,001.91) 3,011, , ,

9 SECURITIES HELD Cusip/ Description Government Bonds Coupon Maturity/ Call date Par value or shares Historical / Accrued interest purchased Amortized / Accretion (amortization) Fair value/ Change in fair value Unrealized gain (loss) received earned Total accrued interest % Port SY /31/2017 1,000, ,000, ,000, USA TREASURY 0.625% 31/05/ (24.32) 999, (477.01) , TB /30/2017 2,000, ,998, ,999, USA TREASURY 0.75% 30/06/ ,002, , , , TM /31/2017 3,000, ,989, ,994, USA TREASURY 0.625% 31/08/ ,997, , , , , TS /30/2017 2,000, ,986, ,992, USA TREASURY 0.625% 30/09/ ,998, , , , TW /31/2017 2,000, ,990, ,994, USA TREASURY 0.75% 31/10/ ,001, , , , UE /31/2017 2,000, ,983, ,990, USA TREASURY 0.75% 31/12/ ,000, (470.00) 9, , , UR /28/2018 2,000, ,980, ,987, USA TREASURY 0.75% 28/02/ ,999, (702.00) 11, , , Total Government Bonds 21,000, ,949, ,969, ,010, , , , , , Grand total 65,000, ,976, ,986, ,014, , , , , (15,182.00)