Report. Office of the CFO. Treasurer's Monthly Report. Summary. Purpose. Attachments

Transcription

1 Report Office of the CFO Summary Treasurer's Monthly Report The attached Treasurer s monthly report provides Metropolitan s investments, as well as portfolio compliance with Metropolitan s Statement of Investment Policy and investment programs. Purpose Administrative Code Requirement Section 5114 Attachments Attachment 1: Portfolio Performance Report January 2018 Attachment 2: Portfolio Summary Report January 2018 Attachment 3: Summary Report of Investment & Cash Activity January 2018 Attachment 4: Duration Report January 2018 Date of Report: 2/12/2018

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3 Attachment 1 The Metropolitan Water District of Southern California (MWD) Portfolio Performance Report Annualized Return Market Value Duration Monthly Return Fiscal YTD Return *Inception-to-Date ($ in Thousands) MWD Benchmark MWD Benchmark MWD Benchmark MWD Benchmark Short-Term (1) $ 542, % 0.12% 0.65% 0.67% 1.86% 1.30% Long-Term (2) 344, (0.53%) (0.53%) (0.18%) (0.47%) 3.36% 2.91% Total Core Funds $ 886,405 Other Funds (3) 40, (0.66%) (0.31%) 7.07% Total $ 927,347 (1) The Short-Term Portfolio Benchmark is the Bank of America Merrill Lynch, Three Month Treasury Bill Index. (2) The Long-Term Portfolio Benchmark is the Bank of America Merrill Lynch, Corporate and Government, 1 to 5 years, A Rated and Higher Index. (3) Debt Service Reserve Funds and Lake Mathews Trust. * Inception Date 5/01/2002 C:\DEBT\MONTHLY REPORT\2018 Mo End Reports\ Mo End Reports\MonthlyLetterAttach1 Jan2018

4 Attachment 2 Portfolio Summary Report ($ in Thousands) Percent of Investment Credit Market Book Portfolio Policy Securities Quality Value Value Market Value Limits United States Treasuries (1,2) "AAA" $ 263,369 $ 264, % 100% Gov't National Mtge Assoc. (1) "AAA" % 100% Federal Agencies (2) "AAA" 51,175 51, % 100% Repurchase Agreements (3) "AAA" % 50% Bankers' Acceptances "F1 or higher" % 40% Commercial Paper "A1/P1 or higher" 175, , % 25% Negotiable Certificates of Deposit "F1 or higher" 140, , % 30% Time Deposits "F1 or better" % N/A Shares of Beneficial Interest "AAA" % 20% California Local Agency Investment Fund (4) 55,467 55, % N/A Medium Term Notes "A or higher" 156, , % 30% Asset & Mortgage-Backed Securities "AAA" 61,207 61, % 20% Municipals (5) "A or higher" 22,000 20, % 30% Total Portfolio $ 927,347 $ 929, % (1) Securities have an explicit United States Government guarantee. (2) United States Treasuries and Federal Agencies are rated 'AAA' by two nationally recognized rating agencies and 'AA+' by one nationally recognized rating agency. (3) Repurchase agreements can only be executed with primary dealers and collateral consists of Treasuries and/or Federal Agencies with maturities under 5 years. (4) $65 million maximum allowed by California Local Agency Investment Fund. (5) $7.524 million (market value) of the municipal bond portfolio was rated AAA. C:\DEBT\MONTHLY REPORT\2018 Mo End Reports\ Mo End Reports\PortfolioSummaryAttach2 Jan2018

5 Attachment 3 Summary Report of Investment & Cash Activity (Shown at Book Value and $ in Thousands) Beginning Ending Balance Purchases Sales Maturities Balance United States Treasuries $ 311,091 $ 32,729 $ 5,818 $ 73,480 $ 264,522 Gov't National Mtge Assoc Federal Agencies 66,991 10, ,311 51,680 Repurchase Agreements Bankers' Acceptances Commercial Paper 168, , , ,606 Negotiable Certificates 222,386 11,848-93, ,709 of Deposit Time Deposits Shares of Beneficial 845 8,182 8, Interest California Local Agency 51,133 8,779 4,445-55,467 Investment Fund Medium Term Notes 160, ,162 15,013 94, ,943 Asset & Mortgage-Backed 58,669 7,666 4,358-61,977 Securities Municipals 20, ,347 Subtotals $ 1,060,268 $ 580,258 $ 37,787 $ 673,606 $ 929,133 Beginning Ending Cash Balance Deposits Withdrawals Balance Demand Accounts $ Petty Cash & Payroll Overnight Investment (1) - 4,700 (4,700) Subtotals Total $ 79 $ 337 $ - $ 4,700 $ (4,284) $ 1,060,347 $ 580,595 $ 37,787 $ 678,306 $ 924,849 (1) Includes investment of outstanding checks. C:\DEBT\MONTHLY REPORT\2018 Mo End Reports\ Mo End Reports\EOM Attachment3 Jan2018

6 Attachment 4 Duration Report ($ in Thousands) Securities Available for Metropolitan's Self-Liquidity Program Market Value Duration (1) US Treasury Bills $ - - US Treasury Notes 216, US Treasury Strips 12, Federal Agency Coupons 44, Federal Agency Strips 2, Federal Agency Discount Notes - - Shares of Beneficial Interest California Local Agency Investment Fund 51, Commercial Paper 162, Bankers' Acceptances - - Negotiable Certificates of Deposit 130, Medium Term Notes 144, Municipal Bonds Municipal Discount Bonds Gov't National Mtge Assoc Asset Backed - - Mortgage Backed 56, Total $ 825,111 Weighted Average Duration (1) Duration is a measure of the sensitivity in the price of a bond to changes in interest rates, so it is a measure of risk in a fixed income portfolio. As a rule of thumb, a fixed income portfolio with a duration of 5 (years) will decline 5% in value for every 1% upward movement in comparable interest rates. C:\DEBT\MONTHLY REPORT\2018 Mo End Reports\ Mo End Reports\Attachment4 Duration Report Jan2018