Integrity Fixed Income Management, LLC

Transcription

1 Integrity Fixed Income Management, LLC Presents: The City of Sanibel Operating, Reserve, Surplus & Restricted Funds As of September 30, 2011

2 Investment Summary as of 9/30/2011 Total Portfolio Market Value of $21,183,180 Total Portfolio Market Value Increase Since Inception 1: $722,507 Gross of Fees, or 2.5% Annualized Total Portfolio Yield to Maturity 2 of 1.6% as of September 30, ) Inception Date is June 9, 2010, Market value of transferred assets $20,460,673 2) Yield to maturity on cost basis. Portfolio cost basis was $20,933,963.18, as of 9/30/11. / 9/30/2011 The City of Sanibel 2

3 Projected Annual Income as of 9/30/11 Portfolio Principal Cost Value * Yield to Maturity on Projected Annual Income Amortized Cost (Gross of Fees) Operating (0 1 Yr) $6,293, % $56,640 Reserves (0 2 Yr) $7,593, % $91,127 Surplus (3 5 Yr) $5,160, % $92,892 Restricted (10 15 Yr) $1,885, % $82,982 Total $20,933, % $323,641 Less Projected dcustody and Mgmt 0.175% of Market Value ($37,071) Projected Net Relationship Annual Income $286,570 * Principal Cost Value is calculated by taking the Total Portfolio Cost Value from the custodial statement and subtracting accrued income. 9/30/2011 The City of Sanibel 3

4 Operating Portfolio Performance Gross of Fees 3 Months Fiscal Year to Date 1 Year 3 Years Inception to Date City of Sanibel Operating Fund 0.11% 0.64% 0.64% NA 0.74% Merrill Lynch 0-3 Month Treasury Bills Index 0.01% 0.10% 0.10% NA 0.10% Relative Performance 0.10% 0.54% 0.54% NA 0.64% Inception Date is June 9, 2010 Returns Reflect Principal and Income Returns 9/30/2011 The City of Sanibel 4

5 Operating Portfolio Cash Flows Portfolio Value on $6,268, Accrued Interest 36, Beginning Market Value 6,305, Contributions/Transfers 0.00 Withdrawals 0.00 Realized Gains (4,578.05) Unrealized Gains (16,576.28) Interest 20, Change in Accrued Interest 7, Portfolio Value on ,267, Accrued Interest 43, Ending Market Value $6,311,490.45, 9/30/2011 The City of Sanibel 5

6 Operating Portfolio Characteristics Portfolio Index Avg. Quality AA AAA Yield to Amortized Cost 0.9% 0.0% Avg. Maturity Effective Duration /30/2011 The City of Sanibel 6

7 Operating Portfolio Sector Distribution 100.0% 90.0% 80.0% 70.0% 60.0% 50.0% 40.0% 30.0% 20.0% 10.0% 0.0% TSY/AGY Corporate Municipal Cash Portfolio Benchmark 9/30/2011 The City of Sanibel 7

8 Operating Portfolio Maturity Distribution 100.0% 90.0% 80.0% 70.0% 60.0% 50.0% 40.0% 30.0% 20.0% 10.0% 0.0% 0 1 Month 1 3 Months 3 6 Months 6 12 Months Portfolio Benchmark 9/30/2011 The City of Sanibel 8

9 Operating Portfolio Quality Distribution 100.0% 90.0% 80.0% 70.0% 60.0% 50.0% 40.0% 30.0% 20.0% 10.0% 0.0% AAA AA A Portfolio Benchmark 9/30/2011 The City of Sanibel 9

10 Operating Portfolio Holdings Issuer Coupon Maturity S&P Rating Moodyʹs Rating Par Value Market Value Yield to Maturity % of P ortfolio CORPORATE BONDS MERRILL LYNCH & CO /1/2011 A Baa1 100,000 $100, % 1.6% CREDIT SUISSE USA INC /15/2011 A+ Aa1 100,000 $100, % 1.6% GOLDMAN SACHS GROUP INC /1/2012 A A1 120,000 $121, % 1.9% SILICON VALLEY BANK /1/2012 A- A2 44,000 $45, % 0.7% WESTERN UNION CO/THE /17/2011 A- A3 111,000 $111, % 1.8% Subtotal $478,901 TAXABLE MU NICIPAL BONDS BACON CNTY GA HOSP AUTH /1/2012 NA Aa3 200,000 $199, % 3.2% CMWLTH FING AUTH PA /1/2012 AA- Aa3 35,000 $35, % 0.6% COMSTOCK PARK MI PUBLIC SCHS /1/2012 AA- NA 100,000 $101, % 1.6% DULUTH MN INDEP SCH DIST # /1/2012 AA+ Aa2 185,000 $185, % 2.9% FAYETTE CNTY KY SCH DIST FIN C /1/2012 AA Aa3 35,000 $35, % 0.6% FORNEY TX /15/2012 A+ Aa3 170,000 $169, % 2.7% GROTON CITY CT /25/2012 SP-1+ MIG1 300,000 $300, % 4.8% HUDSON CNTY NJ IMPT AUTH /9/2012 NA MIG1 250,000 $250, % 4.0% JEFFERSON CNTY CO SCH DIST #R /15/2012 AA+ Aa3 100,000 $102, % 1.6% KANSAS CITY MO SPL OBLG /1/2012 AA- A1 175,000 $176, % 2.8% KENT CNTY MI /1/2012 SP-1+ NA 500, $505, % 2.5% 80% 8.0% KANSAS ST DEV FIN AUTH REVEN /1/2011 AA Aa2 75,000 $75, % 1.2% LOUISVILLE KY /1/2011 AA+ Aa1 100,000 $100, % 1.6% MAINE ST HLTH & HGR EDUCTNL /1/2012 NA A1 565,000 $564, % 8.9% MICHIGAN ST /15/2012 AA- Aa2 500,000 $503, % 8.0% MONTGOMERY CNTY MD REVEN /1/2012 AA+ Aa1 40,000 $40, % 0.6% MISSISSIPPI ST DEV BANK SPL OB /1/2012 AA- NA 140,000 $140, % 2.2% 9/30/2011 The City of Sanibel 10

11 Operating Portfolio Holdings Issuer Coupon Maturity S&P Rating Moodyʹs Rating Par Value Market Value Yield to Maturity % of P ortfolio NEW YORK NY /1/2011 AA Aa2 100,000 $100, % 1.6% PORT GRAYS HARBOR WA REVENU /1/2011 NA A3 265,000 $265, % 4.2% PRINCE GEORGES CNTY MD INDL /15/2011 AA+ Aa1 160,000 $160, % 2.5% SOUTH BEND IN REDEV AUTH /1/2012 AA Aa2 625,000 $624, % 9.9% SOUTH BEND IN REDEV AUTH /1/2012 AA Aa2 400, $399,836 08% 0.8% 63% 6.3% UNIV OF OKLAHOMA OK /1/2011 NA Aa3 80,000 $80, % 1.3% UNIV OF ARKANSAS AR UNIV REVE /1/2011 NA Aa2 65,000 $65, % 1.0% VIRGINIA ST HSG DEV AUTH /1/2011 AA+ Aa1 25,000 $25, % 0.4% WEST VIRGINIA ST HSG DEV FUND /1/2012 AAA Aaa 500,000 $499, % 7.9% Subtotal $5,807,032 CASH AND CASH EQUIVALENTS FEDERATED PRIME OBLIGATIONS FUND 1-18,636 -$18, % -0.3% CASH 248 $ % Portfolio Accrued Income $43, % Total Portfolio Value $6,311,490 1) Information is presented on a trade date basis. On a settlement date basis, the portfolio held $181, in the Federated Prime Obligations Fund. In anticipation of securities with a face value of $275,000 maturing on 10/1/2011, Integrity pre invested $200,000 of the funds on a trade that settled on 10/6/11. At no point was the portfolio overdrawn. 9/30/2011 The City of Sanibel 11

12 Reserves Portfolio Performance Gross of Fees 3 Months Fiscal Year to Date 1 Year 3 Years Inception to Date City of Sanibel Reserves Fund 0.32% 1.19% 1.19% NA 1.15% Merrill Lynch 0-1 Year Treasury Bills Index 0.05% 0.31% 0.31% NA 0.35% Relative Performance 0.27% 088% 0.88% 0.88% NA 0.80% Inception Date is June 9, 2010 Returns Reflect Principal and Income Returns 9/30/2011 The City of Sanibel 12

13 Reserves Portfolio Cash Flows Portfolio Value on $7,517, Accrued Interest 48, Beginning Market Value 7,565, Contributions/Transfers 0.00 Withdrawals 0.00 Realized Gains (8,775.25) Unrealized Gains (18,014.42) Interest 44, Change in Accrued Interest 7, Portfolio Value on ,534, Accrued Interest 55, Ending Market Value $7,590,267.41, 9/30/2011 The City of Sanibel 13

14 Reserves Portfolio Characteristics Portfolio Index Avg. Quality AA AAA Yield to Amortized Cost 1.2% 0.1% Avg. Maturity Effective Duration /30/2011 The City of Sanibel 14

15 Reserves Portfolio Sector Distribution 100.0% 90.0% 80.0% 70.0% 60.0% 50.0% 40.0% 30.0% 20.0% 10.0% 0.0% TSY/AGY Corporate Municipal Cash Portfolio Benchmark 9/30/2011 The City of Sanibel 15

16 Reserves Portfolio Maturity Distribution 100.0% 90.0% 80.0% 70.0% 60.0% 50.0% 40.0% 30.0% 20.0% 10.0% 0.0% 0 6 Months 6 12 Months Months Months Portfolio Benchmark 9/30/2011 The City of Sanibel 16

17 Reserves Portfolio Quality Distribution 100.0% 90.0% 80.0% 70.0% 60.0% 50.0% 40.0% 30.0% 20.0% 10.0% 0.0% AAA AA A Portfolio Benchmark 9/30/2011 The City of Sanibel 17

18 Reserves Portfolio Holdings Issuer Coupon Maturity S&P Rating Moodyʹs Rating Par Value Market Value Yield to Maturity % of P ortfolio CORPORATE BONDS FRANKLIN RESOURCES INC /20/2013 AA- A1 100,000 $101, % 1.3% CREDIT SUISSE USA INC /15/2011 A+ Aa1 37,000 $37, % 0.5% GENERAL ELEC CAP CORP /15/2012 A A2 135,000 $137, % 1.8% GOLDMAN SACHS GROUP INC /1/2012 A A1 125,000 $128, % 1.7% PHILIP MORRIS INTL INC /16/2013 A A2 150,000 $159, % 2.1% SEARIVER MARITIME INC /1/2012 AAA Aaa 150,000 $147, % 1.9% Subtotal $711,276 TAXABLE MU NICIPAL BONDS BACON CNTY GA HOSP AUTH /1/2013 NA Aa3 260, $259, % 1.2% 34% 3.4% CLARK CNTY OH /1/2011 NA Aa2 100,000 $100, % 1.3% COLUMBUS OH /1/2012 AAA Aaa 260,000 $261, % 3.4% COMSTOCK PARK MI PUBLIC SCHS /1/2012 AA- NA 100,000 $101, % 1.3% CONNECTICUT ST /1/2012 AA Aa2 60,000 $60, % 0.8% CONNECTICUT ST /15/2013 AA Aa2 250,000 $254, % 3.4% DELAWARE CNTY PA INDL DEV A /1/2012 A- A1 375,000 $389, % 5.1% DURHAM NC COPS /1/2012 AA+ Aa2 100,000 $102, % 1.4% FORT WAYNE IN INTERNATIONAL /15/2012 NA Aa3 175,000 $175, % 2.3% FARMERS BRANCH TX /15/2012 AA+ NA 185,000 $186, % 2.5% GAINESVILLE FL UTILITIES SYS R /1/2012 AA+ Aa2 360,000 $370, % 4.9% INDIANAPOLIS IN LOCAL PUBLIC I /1/2013 A A1 500, $522,705 13% 1.3% 69% 6.9% INDIANA ST BOND BANK REVENU /15/2012 AA+ WR 260,000 $263, % 3.5% KENTUCKY ST ASSET/LIABILITY C /1/2012 A+ Aa3 100,000 $100, % 1.3% MINNEAPOLIS MN DEV REVENUE /1/2011 A+ NA 150,000 $149, % 2.0% MILWAUKEE WI /15/2013 AA Aa1 200,000 $207, % 2.7% MISSISSIPPI ST /1/2011 AA Aa2 200,000 $200, % 2.6% MONTANA ST COAL SEVERANCE /1/2011 AA Aa3 100,000 $100, % 1.3% LUCAS CNTY OH ECON DEV REVE /1/2011 A+ Aa3 200,000 $200, % 2.6% 9/30/2011 The City of Sanibel 18

19 Reserves Portfolio Holdings Issuer Coupon Maturity S&P Rating Moodyʹs Rating Par Value Market Value Yield to Maturity % of P ortfolio NEVADA ST HSG DIV SF MTGE REV /1/2012 AA+ NA 220,000 $220, % 2.9% OHIO ST HGR EDUCTNL FAC COM /15/2011 NA A3 50,000 $50, % 0.7% OKLAHOMA ST DEV FIN AUTH LEA /1/2012 AA NA 450,000 $450, % 5.9% OREGON ST DEPT OF ADMIN SVCS /1/2012 AAA Aa2 100,000 $101, % 1.3% PORT GRAYS HARBOR WA /1/2012 NA A1 150,000 $150, % 2.0% PHOENIX AZ CIVIC IMPT CORP EX /1/2013 AA Aa3 250,000 $251, % 3.3% PORTSMOUTH VA /1/2012 AA Aa2 130,000 $134, % 1.8% RHODE ISLAND ST TURNPIKE & BR /1/2012 A- WR 155, , % 2.1% SALT LAKE CNTY UT SALES TAX RE /1/2012 AAA NA 115, , % 1.5% SOUTH BEND IN REDEV AUTH /1/2012 AA Aa2 155,000 $154, % 2.0% UNIV OF ALABAMA AL UNIV GEN R /1/2012 AA- Aa2 125,000 $126, % 1.7% UNIV OF NORTH CAROLINA NC AT /1/2012 NA A1 370,000 $370, % 4.9% UNIV OF OKLAHOMA OK /1/2013 AA- NA 25,000 $25, % 0.3% WASHINGTON ST /1/2012 AA+ Aa1 50,000 $51, % 0.7% WEST VIRGINIA ST HSG DEV FUND /1/2012 AAA Aaa 300,000 $299, % 3.9% BALTIMORE MD /15/2011 AA- Aa2 55,000 $55, % 0.7% BALTIMORE MD /15/2011 AA- Aa2 85,000 $85, % 1.1% Subtotal $6,808,797 CASH & CASH EQUIVALENTS FEDERATED PRIME OBLIGATIONS FUND 11,358 $11, % 0.1% CASH 3,265 $3, % Portfolio Accrued Income $55, % Total Portfolio Value $7,590,267 9/30/2011 The City of Sanibel 19

20 Surplus Portfolio Performance Gross of Fees 3 Months Fiscal Year to Date 1 Year 3 Years Inception to Date City of Sanibel Surplus Fund 1.21% 2.26% 2.26% NA 3.04% Merrill Lynch 3-5 Year Treasury Index 2.78% 3.80% 3.80% NA 5.80% Rl Relative Performance -1.57% 157% -1.54% -1.54% NA -2.76% Inception Date is June 9, 2010 Returns Reflect Principal and Income Returns 9/30/2011 The City of Sanibel 20

21 Surplus Portfolio Cash Flows Portfolio Value on ,106, Accrued Interest 34, Beginning Market Value 5,141, Contributions/Transfers 0.00 Withdrawals 0.00 Realized Gains 16, Unrealized Gains 9, Interest 37, Change in Accrued Interest (1,591.30) Portfolio Value on ,170, Accrued Interest 33, Ending Market Value $5,203,569.57, 9/30/2011 The City of Sanibel 21

22 Surplus Portfolio Characteristics Portfolio Index Avg. Quality AA+ AAA Yield to Amortized Cost 1.8% 1.3% Avg. Maturity Effective Duration /30/2011 The City of Sanibel 22

23 Surplus Portfolio Sector Distribution 100.0% 90.0% 80.0% 70.0% 60.0% 50.0% 40.0% 30.0% 20.0% 10.0% 0.0% TSY/AGY Corporate Municipal Cash Portfolio Benchmark 9/30/2011 The City of Sanibel 23

24 Surplus Portfolio Maturity Distribution 100.0% 90.0% 80.0% 70.0% 60.0% 50.0% 40.0% 30.0% 20.0% 10.0% 0.0% 0 1 Year 1 3 Years 3 5 Years Portfolio Benchmark 9/30/2011 The City of Sanibel 24

25 Surplus Portfolio Quality Distribution 100.0% 90.0% 80.0% 70.0% 60.0% 50.0% 40.0% 30.0% 20.0% 10.0% 0.0% AAA AA A Portfolio Benchmark 9/30/2011 The City of Sanibel 25

26 Surplus Portfolio Holdings Issuer Coupon Maturity S&P Rating Moodyʹs Rating Par Value Market Value Yield to Maturity % of P ortfolio CORPORATE BONDS PACIFICORP /15/2014 A A2 85,000 $92, % 1.8% CME GROUP INC /15/2014 AA Aa3 72,000 $79, % 1.5% SEARIVER MARITIME INC /1/2012 AAA Aaa 100,000 $98, % 1.9% FRANKLIN RESOURCES INC /20/2013 AA- A1 100, $101,325 11% 1.1% 19% 1.9% GENERAL ELEC CAP CORP /14/2014 AA+ Aa2 95,000 $99, % 1.9% HEWLETT-PACKARD CO /1/2014 A /*- A2 90,000 $98, % 1.9% VERIZON NEW JERSEY INC /17/2012 A- WR 90,000 $91, % 1.8% WELLS FARGO FINANCIAL /1/2012 AA- A2 94,000 $97, % 1.9% Subtotal $757,338 TAXABLE MU NICIPAL BONDS AUSTIN TX CMNTY CLG DIST /1/2014 AA- Aa3 100,000 $100, % 1.9% EFFINGHAM CNTY GA INDL DEV A /1/2014 NA Aa2 555,000 $554, % 10.7% FAIRFAX CNTY VA /1/2016 AAA Aaa 445,000 $499, % 9.6% FLORIDA ST GOVTL UTILITY AUTH /1/2014 NA A2 100,000 $102, % 2.0% GRAND FORKS ND PUBLIC SCH DI /1/2015 NA Aa2 275,000 $285, % 5.5% GTR ORLANDO FL AVIATION AUT /1/2013 AA+ Aa3 150,000 $161, % 3.1% IRVINE RANCH CA WTR DIST JT PW /15/2014 NA Aaa 500,000 $520, % 10.0% MOBILE CNTY AL /1/2015 AA- Aa2 185,000 $195, % 3.8% MORRIS CNTY NJ IMPT AUTH LEA /15/2014 NA Aaa 400,000 $417, % 8.0% N TX TOLLWAY AUTH REVENUE /1/2013 SP-1+ NA 500, $513, % 9.9% 9% SAINT LOUIS MO SPL ADMIN BRD /1/2014 AA+ NA 300,000 $311, % 6.0% UNIV OF OKLAHOMA OK /1/2014 AA- NA 200,000 $203, % 3.9% WATERBURY CT /1/2014 AA+ Aa3 500,000 $524, % 10.1% $4,390,363 9/30/2011 The City of Sanibel 26

27 Surplus Portfolio Holdings Issuer Coupon Maturity S&P Rating Moodyʹs Rating Par Value Market Value Yield to Maturity % of P ortfolio CASH & CASH EQUIVALENTS FEDERATED PRIME OBLIGATIONS FUND $8, % 0.2% CASH $14, % Portfolio Accrued Inome $33,154 Total Portfolio Value $5,203,570 9/30/2011 The City of Sanibel 27

28 Restricted Portfolio Performance Gross of Fees 3 Months Fiscal Year to Date 1 Year 3 Years Inception to Date City of Sanibel Restricted Fund 8.03% 7.54% 7.54% NA 12.07% Merrill Lynch Year Treasury Index 12.97% 10.45% 10.45% NA 14.61% Relative Performance -4.94% -2.91% -2.91% NA -2.54% Inception Date is June 9, 2010 Returns Reflect Principal and Income Returns 9/30/2011 The City of Sanibel 28

29 Restricted Portfolio Cash Flows Portfolio Value on $1,895, Accrued Interest 28, Beginning Market Value 1,923, Contributions/Transfers 0.00 Withdrawals 0.00 Realized Gains 0.00 Unrealized Gains 132, Interest 38, Change in Accrued Interest (16,616.64) Portfolio Value on ,066, Accrued Interest 11, Ending Market Value $2,077,852.61, 9/30/2011 The City of Sanibel 29

30 Restricted Portfolio Characteristics Portfolio Index Avg. Quality AA+ AAA Yield to Amortized Cost 4.4% 2.1% Avg. Maturity Effective Duration /30/2011 The City of Sanibel 30

31 Restricted Portfolio Sector Distribution 100.0% 90.0% 80.0% 70.0% 60.0% 50.0% 40.0% 30.0% 20.0% 10.0% 0.0% TSY/AGY Corporate Municipal Cash Portfolio Benchmark 9/30/2011 The City of Sanibel 31

32 Restricted Portfolio Maturity Distribution 100.0% 90.0% 80.0% 70.0% 60.0% 50.0% 40.0% 30.0% 20.0% 10.0% 0.0% 0 1 Year 7 10 Years Years Portfolio Benchmark 9/30/2011 The City of Sanibel 32

33 Restricted Portfolio Quality Distribution 100.0% 90.0% 80.0% 70.0% 60.0% 50.0% 40.0% 30.0% 20.0% 10.0% 0.0% AAA AA A Portfolio Benchmark 9/30/2011 The City of Sanibel 33

34 Restricted Portfolio Holdings Issuer Coupon Maturity S&P Rating Moodyʹs Rating Par Value Market Value Yield to Maturity % of P ortfolio CORPORATE BONDS MISSISSIPPI POWER CO /1/2019 A A2 25,000 $29, % 1.4% ELI LILLY & CO /1/2025 AA- A2 20,000 $26, % 1.3% MORGAN STANLEY /25/2021 A A2 25,000 $23, % 1.1% GENERAL ELEC CAP CORP /29/2015 AA+ Aa2 30,000 $32, % 1.6% Subtotal $112,443 TAXABLE MU NICIPAL BONDS ARIZONA ST BRD OF RGTS UNIV S /1/2019 AA- Aa3 400,000 $453, % 21.8% VIRGINIA ST CLG BLDG AUTH EDU /1/2025 AA Aa1 15,000 $17, % 4% 0.8% FRANKLIN CNTY OH /1/2021 AAA Aaa 200,000 $223, % 10.7% Subtotal $693,585 GOVERNMENT SECURITIES FEDERAL FARM CREDIT BANK /5/2023 AA+ Aaa 1,000,000 $1,219, % 58.7% US TREASURY N/B /15/2020 AAA Aaa 15,000 $16, % 0.8% Subtotal $1,235,651 CASH & CASH EQUIVALENTS FEDERATED PRIME OBLIGATIONS FUND $24, % 1.2% CASH $4 0.0% Portfolio Accrued Income $11, % Total Portfolio Value $2,077,853 9/30/2011 The City of Sanibel 34