Treasury Oversight Committee

Transcription

1 Office of the Treasurer & Tax Collector City and County of San Francisco Pauline Marx, Chief Assistant Treasurer José Cisneros, Treasurer Treasury Oversight Committee May 26, 2017 City Hall - Room Dr. Carlton B. Goodlett Place San Francisco, CA Telephone: Facsimile:

2 Table of Contents Economic & Market Overview Strategy Pooled Fund Review Pool Participants Breakdown April Monthly Report separate handout 2

3 Key Economic Data 4% 3% 2% 1% 66% Gross Domestic Product GDP Year-over-Year Change ISM Manufacturing PMI ISM Non-Manufacturing PMI 45 3/12 3/13 3/14 3/15 3/16 3/17 Employment Wage Growth Labor Participation Rate % 1 2.5% % % % -1. Producer Price Index vs Consumer Price Index Core CPI Core PPI CPI PPI -1.5% 4/14 4/15 4/16 4/17 Employment vs Unit Cost JOLTS, Jobless Claims, Unit Labor Costs 65% Unemployment Rate 8% 64% 63% 6% 4% 2% 62% 4/07 4/08 4/09 4/10 4/11 4/12 4/13 4/14 4/15 4/16 4/17 Source: Bloomberg 3

4 Key Economic Data German 10Y Bund vs US Govt 10Y Consumer Confidence vs Dow Jones US Govt 10Y German 10Y Bund Consumer Confidence Dow Jones Industrial Average /14 5/15 5/16 5/ /14 5/15 5/16 5/ Millions Housing 6 Existing Homes Sales New Home Sales 1,000K 900K 5 800K 4 700K 600K 3 500K 400K 2 300K 1 200K 100K 0 0K 3/07 3/08 3/09 3/10 3/11 3/12 3/13 3/14 3/15 3/16 3/17 Source: Bloomberg S&P/Case-Shiller Home Price Indices Metro Composite San Francisco Area /07 2/08 2/09 2/10 2/11 2/12 2/13 2/14 2/15 2/16 2/17 4

5 Yield Curve Changes 3.5% % 2. UST Yields 2/6/2017 5/23/2017 Change 1.5% 3M 0.52% % 1Y 0.62% 1.07% 0.46% 2Y 0.78% 1.12% 0.34% 1. 3Y 1.15% % 5Y % 0.07% 7Y 1.85% 1.81% -0.03% 0.5% 10Y 2.18% 2.08% Y 2.41% 2.27% -0.14% 0. 3M 1Y 2Y 3Y 5Y 7Y 10Y 30Y UST Yield Curve as of 05/23/2016 UST Yield Curve as of 2/6/2017 UST Yield Curve as of 05/23/2017 Source: Bloomberg 5

6 Expected Fed Fund Rate Levels 5% Forecast as of March % 3% 2% 1% Longer Run 2017 Median rate = 1.4% 2018 Median rate = 2.1% 2019 Median rate = 3. Longer Run Median rate = 3. *FOMC: Midpoint of target range or target level for federal funds rate, 03/15/2017. Individual dots represent each of the 17 FOMC members judgment of the midpoint of the appropriate target range for the federal funds rate. One participant did not submit longer-run projection. Source: Federal Open Market Committee 6

7 Strategic Considerations Impact and Timing of Fiscal Policy Unwinding of the Federal Reserve s Balance Sheet Geo-political Risks Pool Liquidity Requirements Portfolio Strategy Reduce Portfolio s Exposure to Floating Rate Issues Use Money Market Sector to Satisfy Liquidity Needs Extend Portfolio Duration 7

8 Historical Maturity Distribution Comparison 4 35% 3 25% 2 15% 1 5% Maturity Distribution 0 TO 1 MONTHS 1 TO 3 MONTHS 3 TO 6 MONTHS 6 TO 12 MONTHS 12 TO 24 MONTHS 24 TO 36 MONTHS 36 TO 48 MONTHS 48 TO 60 MONTHS 3/31/2016 3/31/ % 3 25% 2 15% 1 5% Effective Maturity Distribution 0 TO 1 MONTHS 1 TO 3 MONTHS 3 TO 6 MONTHS 6 TO 12 MONTHS 12 TO 24 MONTHS 24 TO 36 MONTHS 36 TO 48 MONTHS 48 TO 60 MONTHS 3/31/2016 3/31/2017 Source: SunGard APS2 8

9 County Pooled Fund Statistics Monthly Change In Earned Income Yield % 1. Contra Costa County 0.5% LAIF Sacramento County San Diego County Sonoma County Riverside County Orange County City and County of San Francisco Los Angeles County Fresno County Name of Fund Portfolio Size* ($ mns) Los Angeles County $28,107.0 LAIF 21,350.7 San Diego County 8,936.2 City and County of San Francisco 8,279.9 Riverside County 6,639.0 Orange County (ex. Schools) 4,268.8 Sacramento County 3, Weighted Average Maturity (in days) Nov 2016 Mar 2017 Fresno County 3,100.6 Contra Costa County 2,636.4 Sonoma County 2,044.7 * as of March % 5% 4% 3% 2% 1% LGIP Index 30-Day Gross Yield March 2007 March 2017 San Francisco Earned Income Yield LGIP Index 30-Day Gross Yield Sources: Bloomberg, Sacramento County as of 05/16/2017 Mar 07 Mar 09 Mar 11 Mar 13 Mar 15 Mar 17 9

10 Pool Participants Breakdown As of March 31, 2017 Pool Participant Equity Balance Percent of Fund General Fund/Special City Funds/Internal Services Funds 2,646,679, % San Francisco International Airport 996,106, % San Francisco Public Utilities Commission 925,755, % Other agencies (incl. Transbay Joint Powers, Trial Courts) 805,495, % San Francisco Municipal Transportation Authority 797,057, % Facilities and Capital Projects Funds - General 665,924, % San Francisco General Hospital and Laguna Honda Hospital 435,789, % San Francisco Unified School District 422,916, % OCII - Successor Agency former SFRDA 281,060, % Port of San Francisco 177,792, % San Francisco Community College District 133,431, San Francisco County Transportation Authority 30,602, % Pension and Retiree Health Care Trust Fund 12,144, % Totals $8,330,757, Source: Cognos Impromptu 10

11 Billions 9 8 Pool Participants Trends March 31, March 31, General Fund/Special City Funds/Internal Services Funds San Francisco International Airport San Francisco Public Utilities Commission Other San Francisco Municipal Transportation Authority Facilities and Capital Projects Funds - General Source: Cognos Impromptu 11