CLARK COUNTY, NEVADA

Transcription

1 December 31, 2015 CLARK COUNTY TREASURER S OFFICE 500 S. GRAND CENTRAL PARKWAY LAS VEGAS, NEVADA Laura B. Fitzpatrick Treasurer

2 Monthly Investment Report TABLE OF CONTENTS INVESTMENT OVERIEW AND OBJECTIVES 1 TREASURER'S CERTIFICATION 2 TOTAL PORTFOLIO OVERVIEW 3 INVESTMENT POOL OVERVIEW 5 BOND FUNDS OVERVIEW 7 McCARRAN AIRPORT BOND FUNDS OVERVIEW 8 TAX RECEIVER OVERVIEW 9 WATER RECLAMATION DISTRICT OVERVIEW 10 PORTFOLIO SECURITY LISTINGS APPENDIX TOTAL INVESTMENT SUMMARY INVESTMENT POOL BOND FUNDS McCARRAN AIRPORT BOND FUNDS TAX RECEIVER WATER RECLAMATION DISTRICT CLARK COUNTY TREASURER'S WEBSITE ADDITIONAL INVESTMENT INFORMATION

3 December 31, 2015 INVESTMENT OVERVIEW AND OBJECTIVES The three main objectives in managing the County's Total Investment Portfolio are to provide safety of principal, to ensure liquidity to meet operating requirements, and to generate a market rate of return on the investments. Using cash flow projections to match revenues with expenditures ensures prudent investment principles that will enable the County to soundly meet its financial obligations. The Investment Portfolio shall be structured in relation to prevailing budgetary and economic environments, taking into account the County's investment risk constraints and cash flow characteristics. The County s Total Investment Portfolio has five separate investment portfolios. They are as follows: Investment Pool - operating funds, various bond funds, and capital project funds Bonds Funds - various bond funds, requiring segregation McCarran Airport Bond Funds - airport bond funds Tax Receiver - real property tax collections Water Reclamation District - separate legal entity s operating funds, various bond funds, and capital project funds INVESTMENT POOL- The Investment Pool is segregated into three sub-portfolios: Cash Management, Core, and ABS/MBS. The Cash Management and Core sub-portfolios represent the largest portion of the Investment Pool and these funds are primarily invested in short to intermediate term treasury and federal agency securities and in high grade corporate debt obligations. ABS/MBS primarily invests in federal agency collateralized mortgage obligations and high grade asset-backed securities. BOND FUNDS- Various bond construction, reserve, and debt service monies are invested according to bond covenants in short-term U.S. Treasury and federal agency securities, money market funds (MMFs), and Collateralized Investment Agreements (CIAs) to match semi-annual debt service payments and cash flow requirements. These funds are primarily from special improvement district bond issues. McCARRAN AIRPORT BOND FUNDS- Various airport bond construction, reserve and debt service monies are invested according to bond covenants in short-term treasury and federal agency securities, MMFs, and Collateralized Investment Agreements to match semi-annual debt service payments and cash flow requirements TAX RECEIVER- The Treasurer, as ex officio tax receiver, bills and collects taxes on all real property in the County, and distributes the tax dollars to the various taxing entities including the state, county, school district, cities, libraries, other special districts. The balances in the Tax Receiver account are extremely seasonal in nature due to the statutory property tax collection schedule, with the highest balances occurring in the months of August, October, January, and March. Property tax allocations and interest earnings are disbursed to other governmental entities on the 15 th of each month. Monies are invested primarily in money market funds (MMFs) and other shortterm securities to match the scheduled cash flow requirements. WATER RECLAMATION DISTRICT- The Treasurer performs the investment function for the Water Reclamation District. The types of investments utilized for this portfolio are primarily treasuries, federal agencies, MMFs, and other short term debt. The Treasurer's office works with the District to ensure the portfolio has adequate liquidity to provide for cash flow needs. 1

4 December 31, 2015 TREASURER'S CERTIFICATION I, Laura B. Fitzpatrick, Clark County Treasurer, certify that the investments and related activity herein reported comply with Nevada Revised Statues, Clark County Ordinances, and the Clark County Investment Policy. /s/ Laura B. Fitzpatrick Laura B. Fitzpatrick - County Treasurer REQUIREMENTS AND COMPLIANCE ITEM Weighted Average Duration REQUIREMENTS The Investment Pool cannot exceed a 2.5 year weighted average duration. ACTUAL PORTFOLIO 1.92 Liquidity Requirement* At least 5% of the Investment Pool must mature within 90 days % *Percentage includes the closing ledger balance of the Investment Pool's checking account at the County's depository bank. TOTAL PORTFOLIO INVESTMENT CATEGORY MAXIMUM MATURITY QUALITY LIMITS S&P/MOODY'S AUTHORIZED LIMIT ACTUAL PORTFOLIO U.S. Federal Agency 10 Years N/A No Limit 38.58% Money Market Funds N/A AAA No Limits 8.23% U.S. Treasury Collateralized Investment Agreements Forward Delivery Agreements Commercial Paper* Negotiable Certificates of Deposit* Corporate Notes* 10 Years Match Bond Issues Match Bond Issues 270 days N/A 5 Years N/A Counterparty rating A2/A or better Counterparty rating A2/A or better Domestic A-1/P-1 or better A-1/P-1 or better A-/A3 or better No Limit No Limits No Limits 20% - Not more than 5% per issuer No Limits in total - Not more than 5% per issuer 20% - Not more than 5% per issuer 24.32% 0.30% 4.95% 1.80% 14.05% LGIP N/A N/A N/A 0.96% Repurchase Agreements 90 Days N/A 10% - Collateral 102% Agency Collaterlized Mortgage Obligations N/A AAA/Aaa 0.2 Agency MBS Pass-Throughs 10 years N/A No Limit Asset Backed Securities* N/A AAA/Aaa 20% - Not more than 5% per issuer Total 2.90% 0.42% 0.24% 3.25% 10 *No single issuer exceeds the 5% restriction limit. 2

5 TOTAL PORTFOLIO OVERVIEW DISTRIBUTIONS BY PORTFOLIOS PORTFOLIO MARKET VALUE BOOK VALUE VARIANCE Investment Pool $ 3,816,330, $ 3,817,501, $ (1,171,314.39) Bond Funds 190,293, ,272, , McCarran Airport Bond Funds 362,920, ,084, (164,090.49) Tax Receiver 167,641, ,641, Water Reclamation District TOTALS $ 463,537, ,000,723, $ 464,339, \ 5,002,839, $ (801,971.97) (2,116,315.61) TAX RECEIVER 3.35% WATER RECLAMATION DISTRICT 9.28% AIRPORT BOND FUNDS 7.26% BOND FUNDS 3.80% INV POOL 76.31% PORTFOLIO Investment Pool Bond Issues McCarran Airport Bond Iss. Tax Receiver Water Reclamation District TOTAL PORTFOLIO YIELD TO MATURITY DAYS TO MATURITY WEIGHTED AVG MATURITY (Yrs) WEIGHTED AVG DURATION (Yrs) MONTHLY INTEREST EARNINGS 1.06% $ 3,255, % , % , % , % , % $ 3,884,

6 TOTAL PORTFOLIO OVERVIEW (CONTINUED) The County s Total Investment Portfolio is diversified into various types of assets which are allowed by the County s Investment Policy and Nevada Revised Statues. The breakdown of the asset types is as follows: ASSET TYPE AGY - U.S. Federal Agency MMF - Money Market Funds TRSY - U.S. Treasury CIA - Collateralized Investment Agreements FDA - Forward Delivery Agreement CP - Commercial Paper CD - Negotiable CD's CORP - U.S. Corporate Notes LGIP - State Nevada Pool REPO - Repurchase Agreements CMO - Agency CMO MBS - Agency Pass-Through ABS - Asset Backed Securities TOTAL $ 1,929,360, $ 1,930,627, $ (1,266,483.15) 411,639, ,639, ,218,553, ,216,863, ,689, ,867, ,867, ,013, ,869, , ,027, ,000, , ,205, ,766, (1,560,971.39) 48,109, ,109, ,000, ,000, ,468, ,849, (380,886.80) 11,730, ,803, (73,217.95) 161,746, ,442, (695,823.21) $ 5,000,723, $ 5,002,839, $ (2,116,315.61) ASSET TYPES BY BOOK VALUE CD 1.80% CORP 14.05% LGIP 0.96% REPO 2.90% CMO 0.42% MBS-PT 0.24% ABS 3.25% CP 4.95% AGY 38.59% FDA CIA 0.30% TSY 24.32% MMF 8.23% 4

7 INVESTMENT POOL OVERVIEW The County's Investment Pool is segregated into the following four sub-portfolios: CASH MANAGEMENT PORTFOLIO: The primary focus of this portfolio is to provide the day to day liquidity needs of the County. Therefore, the Cash Management portfolio mainly targets maturities from overnight to 12 months. The majority of investments are purchased and held to maturity. The most frequently used investment vehicles are federal agency notes, money market funds, commercial paper, and certificates of deposit. CORE PORTFOLIO: This portfolio is more active than the Cash Management portfolio and takes advantage of market conditions to prudently maximize return. The Core portfolio mainly targets maturities from 1 to 3 years. The most frequently used investment vehicles include U.S. treasury notes, federal agency notes, corporate obligations with are rated A-AAA, commercial paper, and money market funds. ABS/MBS PORTFOLIO: The ABS/MBS portfolio primarily invests in AAA-rated collateralized mortgage obligations, AAA-rated asset backed securities, federal agency securities, and treasury notes. SUB PORTFOLIO Core Cash Management ABS/MBS TOTALS $ 2,669,382, $ 2,669,506, $ (124,138.73) 983,098, ,295, (197,084.29) 163,849, ,699, (850,091.37) \ $ 3,816,330, $ 3,817,501, $ (1,171,314.39) ABS/MBS 4.31% Cash Mgt 25.76% Core 69.93% 5

8 INVESTMENT POOL OVERVIEW (CONTINUED) ASSET TYPE AGY - U.S. Federal Agency TRSY - U.S. Treasury MMF - Money Market Funds CP - Commercial Paper CORP - U.S. Corporate Notes CD - Negotiable Certificates of Deposit LGIP - State Nevada Pool $ 1,487,582, $ 1,488,443, $ (860,585.98) 1,081,587, ,079,853, ,733, ,181, ,181, ,514, ,370, , ,562, ,912, (1,349,421.61) 90,027, ,000, , ,023, ,023, REPO - Repurchase Agreements 127,000, ,000, CMO - Agency CMO MBS - Agency Pass-Through ABS - Asset Backed Securities 20,468, ,849, (380,886.80) 11,730, ,803, (73,217.95) 95,651, ,063, (412,193.52) TOTAL $ 3,816,330, $ 3,817,501, $ (1,171,314.39) ASSET TYPES BY BOOK VALUE CORP 16.42% CP 6.19% CD 2.36% LGIP 0.79% Repo 3.33% CMO 0.55% MBS-PT 0.31% ABS 2.52% AGY 38.99% MMF 0.27% TRSY 28.29% The County Investment Policy stipulates that the Investment Pool always has at least 5% of its holdings between an 1 day to a 90 day maturity to ensure the daily liquidity needs of the County are met. The Treasurer s Office maintains a detailed 12-month rolling cash flow analysis to assist in meeting this requirement. The charts below display the allocations for specific maturity intervals of the Investment Pool. DISTRIBUTION BY MATURITY (BOOK VALUE) $ Amount (Millions) $1,800 $1,600 $1,400 $1,200 $1,000 $800 $600 $400 $200 $0 $987.0 $867.1 $652.0 $364.7 $493.1 $ MONTHS 3-12 MONTHS 1-2 YEARS 2-3 YEARS 3-4 YEARS 4+ YEARS Percent of Total 50% 45% 40% 35% 30% 25% 20% 15% 10% 5% 0% 25.9% 22.7% 17.1% 9.6% 12.9% 11.9% 0-3 MONTHS 3-12 MONTHS 1-2 YEARS 2-3 YEARS 3-4 YEARS 4+ YEARS 6

9 BOND FUNDS OVERVIEW ASSET TYPE AGY - U.S. Federal Agency TRSY - U.S. Treasury MMF - Money Market Funds FDA - Forward Delivery Agreement TOTAL $ 78,130, $ 78,108, $ 21, ,163, ,163, $ 190,293, $ 190,272, $ 21, ASSET TYPES BY BOOK VALUE FDA MMF 58.95% AGY 41.05% TRSY DISTRIBUTION BY MATURITY (BOOK VALUE) $ Amount (Millions) $250 $225 $200 $175 $150 $125 $100 $75 $50 $25 $0 $190.3 $0.0 $0.0 $0.0 $ MONTHS 3-6 MONTHS 6-9 MONTHS 9-12 MONTHS 12+ MONTHS Percent of Total 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% 100.0% 0.0% 0.0% 0.0% 0.0% 0-3 MONTHS 3-6 MONTHS 6-9 MONTHS 9-12 MONTHS 12+ MONTHS 7

10 McCARRAN AIRPORT BOND FUNDS OVERVIEW ASSET TYPE AGY - U.S. Federal Agency TRSY - U.S. Treasury MMF - Money Market Funds CP - Commercial Paper CIA - Collateralized Investment Agreements $ 164,251, $ 164,440, $ (189,261.27) 22,491, ,466, , ,310, ,310, ,867, ,867, TOTAL $ 362,920, $ 363,084, $ (164,090.49) ASSET TYPES BY BOOK VALUE CP CIA 4.09% MMF 44.43% AGY 45.29% TRSY 6.19% DISTRIBUTION BY MATURITY (BOOK VALUE) $500 $ Amount (Millions) $400 $300 $200 $100 $0 $222.1 $48.0 $49.9 $17.0 $ MONTHS 3-6 MONTHS 6-9 MONTHS 9-12 MONTHS 12+ MONTHS Percent of Total 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% 61.2% 13.2% 13.8% 4.7% 7.2% 0-3 MONTHS 3-6 MONTHS 6-9 MONTHS 9-12 MONTHS 12+ MONTHS 8

11 TAX RECEIVER OVERVIEW ASSET TYPE AGY - U.S. Federal Agency TRSY - U.S. Treasury CP - Commercial Paper CD - Negotiable CD's REPO - Repurchase Agreement LGIP - State Nevada Pool MMF - Money Market Funds TOTAL $ - $ - $ - 9,000, ,000, ,498, ,498, ,000, ,000, ,086, ,086, ,056, ,056, $ 167,641, $ 167,641, $ - ASSET TYPES BY BOOK VALUE AGY TRSY CP 5.37% CD 1.49% REPO 10.74% MMF 71.61% LGIP 10.79% DISTRIBUTION BY MATURITY (BOOK VALUE) $ Amount (Millions) $300 $275 $250 $225 $200 $175 $150 $125 $100 $75 $50 $25 $0 $138.1 $27.0 $2.5 $ Day 2-30 Days Days 60+ Days Percent of Total 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% 82.4% 16.1% 1.5% 0.0% 0-1 Day 2-30 Days Days 60+ Days 9

12 WATER RECLAMATION DISTRICT OVERVIEW ASSET TYPE AGY - U.S. Federal Agency TRSY - U.S. Treasury CP - Commercial Paper CD - Negotiable Certificates of Deposit CORP - Corporate Notes ABS - Asset Backed Securities LGIP - State Nevada Pool MMF - Money Market Funds TOTAL $ 199,396, $ 199,634, $ (237,697.14) 114,474, ,543, (69,095.36) 75,642, ,854, (211,549.78) 66,094, ,378, (283,629.69) 7,928, ,928, $ 463,537, $ 464,339, $ (801,971.97) ASSET TYPES BY BOOK VALUE CORP 16.34% CP CD LGIP ABS 14.30% MMF 1.71% AGY 42.99% TRSY 24.67% DISTRIBUTION BY MATURITY (BOOK VALUE) $300 $ Amount (Millions) $250 $200 $150 $100 $50 $0 $134.9 $146.9 $74.8 $47.9 $54.9 $ MONTHS 3-12 MONTHS 1-2 YEARS 2-3 YEARS 3-4 YEARS 4+ YEARS Percent of Total 55% 50% 45% 40% 35% 30% 25% 20% 15% 10% 5% 0% 29.0% 31.6% 16.1% 10.3% 11.8% 1.1% 0-3 MONTHS 3-12 MONTHS 1-2 YEARS 2-3 YEARS 3-4 YEARS 4+ YEARS 10

13 Monthly Investment Report APPENDIX INVESTMENT HOLDINGS TOTAL INVESTMENT SUMMARY INVESTMENT POOL BOND FUNDS McCARRAN AIRPORT BOND FUNDS TAX RECEIVER WATER RECLAMATION DISTRICT