Pooled. Pooled Money Investment Board

Transcription

1 Pooled Pooled Money Investment Board Board Report as of September 30, 2015 Prepared by the PMIB Staff Scott Miller, Director of Investments Kevin Hornung, MIP Administrator Karen Stattelman, Accounting Manager Rebecca McManness, Investment Acct. Janette Boucher, Investment Analyst

2 Pooled Money Investment Board Balance Sheet September 30, 2015 ASSETS Health Care Special Elimination Consolidated Prior PMIP KDOT Stab. Fund Funds Entry TOTAL Month Change Cash $5,793,302 $0 $0 $0 $0 $5,793,302 $1,484,033 $4,309,269 Deposits in Transit 9,412, ,412,341 9,510,290 (97,949) Investments (Amortized Cost) 3,217,135,966 40,010, ,644, ,449,520 (840,988) 3,723,399,245 4,118,822,802 (395,423,557) PMIB Loans 8,825, ,825,098 7,325,098 1,500,000 Linked Deposits 12,693, ,693,873 13,141,697 (447,824) Interest Receivable 2,414, ,581, , ,694,505 5,637,818 56,687 Total Assets $3,256,275,233 $40,010,832 $267,225,256 $203,148,031 ($840,988) $3,765,818,364 $4,155,921,738 ($390,103,374) Total Assets - September 30, 2014 $3,869,162,826 $209,688,995 $258,901,725 $41,091,225 $1,386,872 $4,380,231,643 Change From Prior Year ($612,887,593) ($169,678,163) $8,323,531 $162,056,806 ($2,227,860) ($614,413,279) LIABILITIES Due to Agencies and Others $2,516,048,185 $40,010,832 $267,203,254 $203,148,031 ($840,988) $3,025,569,314 $3,327,018,168 ($301,448,854) Reverse Repo Agreements Due to PMIP Fee Fund 251, , , ,538 (43,286) Payable to MIP Participants 739,949, ,949, ,562,747 (88,612,899) Int Earned Not Posted MIP (FX) 25, ,950 24,285 1,665 Total Liabilities $3,256,275,233 $40,010,832 $267,225,256 $203,148,031 ($840,988) $3,765,818,364 $4,155,921,738 ($390,103,374) Composition of Assets As of September 30, 2014 Composition of Assets As of September 30, 2015 Millions % 4.8% 5.9% PMIP KDOT HCS Special 0.9% Millions % 1.1% 7.1% PMIP KDOT HCS Special 5.4% Total $4,380,231,643 Total $3,765,818,364 September 30, 2015 Pooled Money Investment Board Page 1

3 Pooled Money Investment Board Statement of Net Investment Income For the Month Ended September 30, 2015 Health Care Special Elimination Consolidated Prior PMIP KDOT Stab. Fund Funds Entry TOTAL Month Change Investment Income Interest Income $812,349 $121 $846,141 $136,771 ($6) $1,795,376 $1,791,773 $3,603 Amortization of (Premium)/Discount (140,401) 16,601 (154,556) (16,859) 0 (295,215) (210,308) (84,907) Interest Expense on Reverse Repos Gain on Sale of Securities (Loss) on Sale of Securities Less PMIP Fees Retained (251,250) 0 (22,002) 0 0 (273,252) (316,538) 43,286 Early Withdrawal Penalty Net Investment Income $420,698 $16,722 $669,583 $119,912 ($6) $1,226,909 $1,264,927 ($38,018) Interest Income to MIP Participants $12,988 $12,988 $27,724 ($14,736) Interest Earned Not Posted MIP (FX) 8,367 8,367 6,490 1,877 $21,355 $21,355 $34,214 ($12,859) Pooled Money Investment Board Statement of Net Investment Income Fiscal Year to Date September 30, 2015 Health Care Special Elimination Consolidated Prior FYTD PMIP KDOT Stab. Fund Funds Entry TOTAL September 30, 2014 Change Investment Income Interest Income $2,395,450 $384 $2,548,493 $419,472 ($35) $5,363,764 $2,967,481 $2,396,283 Amortization of (Premium)/Discount (253,217) 54,824 (461,532) (51,490) 0 (711,415) 709,832 (1,421,247) Interest Expense on Reverse Repos Gain on Sale of Securities (Loss) on Sale of Securities Less PMIP Fees Retained (866,175) 0 (67,795) 0 0 (933,970) (645,913) (288,057) Early Withdrawal Penalty Net Investment Income $1,276,058 $55,208 $2,019,166 $367,982 ($35) $3,718,379 $3,031,399 $686,980 Interest Income to MIP Participants $61,538 $61,538 $48,540 $12,998 Interest Earned Not Posted MIP (FX) 20,872 20,872 17,125 3,747 $82,410 $82,410 $65,664 $16,746 September 30, 2015 Pooled Money Investment Board Page 2

4 Pooled Money Investment Portfolio Investments as of September 30, 2015 Unrealized % Of Yield at Month End (%) Par Value Amortized Cost Market Value Gain/Loss WAM (Days) Portfolio Sep-15 Aug-15 Jul-15 Jun-15 Investments US Govt Agency Discount Notes $344,300,000 $344,228,842 $344,211,998 ($16,844) % US Govt Agency Debentures 717,977, ,510, ,844,303 1,334, % Kansas Bank CDs 99,013,000 99,013,000 99,013, % Commercial Paper 1,220,000,000 1,219,883,956 1,219,892,950 8, % Open Commercial Paper 150,000, ,000, ,973,000 (27,000) % Corporate Bonds % Repurchase Agreements 680,500, ,500, ,500, % TOTAL $3,211,790,000 $3,217,135,966 $3,218,435,251 $1,299, % Prior Month's Totals $3,564,640,000 $3,570,369,679 $3,570,372,374 $2, Total Return Change from Prior Month ($352,850,000) ($353,233,713) ($351,937,123) $1,296, Benchmark (Yield) PORTFOLIO PERFORMANCE FYTD Portfolio Average Yield (%) 0.28 Portfolio Return Comparison Benchmark Yield (%) 0.22 Total Return (%) 0.10 MIP Rate Paid (%) % 0.35% 0.30% 0.25% PMIP ADB Rate (%) % 80 MIP Average Balance $966,513,738 KDOT Cash Average Balance (ADB) $316,056,131 PMIP Average Balance $2,986,255,605 Net Investment Income $1,276, % 0.10% 0.05% 0.00% Benchmark = Standard & Poor's LGIP Index EOM Portfolio EOM Benchmark September 30, 2015 Pooled Money Investment Board Page 3

5 Pooled Money Investment Portfolio Investments with Kansas Banks as of September 30, 2015 Amount on Deposit Average Rate Number of Banks Kansas Bank CDs $99,013, % 30 Fund Placement Funds Offered Funds Placed Amount Average Rate $125,000,000 3 Months $40,017, % FY 16 Offerings to Banks September 2015 YTD FY 16 Offered to Banks $125,000,000 $350,000,000 Amount placed with Banks $40,017,000 $107,012,000 Redeemed Accounts $38,267,000 $102,039,000 NET CHANGE $1,750,000 $4,973,000 September 30, 2015 Pooled Money Investment Board Page 4

6 PMIP Cash Flow Analysis September 30, Oct - Dec Jan - Mar Apr - June July - Sept Oct - Dec Jan - Mar Apr - June July - Sept 1-3 mo 4-6 mo 7-9 mo mo mo mo mo mo Cash In Maturities 2,493,813,000 77,190,000 75,000,000 69,275,000 75,000,000 76,012,000 75,000,000 70,500,000 Revenue*** 5,555,300,000 6,256,900,000 7,227,100,000 6,452,400,000 5,555,300,000 6,256,900,000 7,227,000,000 4,295,800,000 Total 8,049,113,000 6,334,090,000 7,302,100,000 6,521,675,000 5,630,300,000 6,332,912,000 7,302,000,000 4,366,300,000 Cash Out MIP 689,287,036 35,441,776 7,042,207 8,178, Expenditures*** 6,512,400,000 6,164,200,000 6,556,800,000 6,467,600,000 6,512,400,000 6,164,200,000 6,617,200,000 4,055,200,000 Total 7,201,687,036 6,199,641,776 6,563,842,207 6,475,778,829 6,512,400,000 6,164,200,000 6,617,200,000 4,055,200,000 Net Cash Available 847,425, ,448, ,257,793 45,896,171 (882,100,000) 168,712, ,800, ,100,000 ***Projections Millions O-15 N D J-16 F M A M J J A S O N D J-17 F M A M J J A Assets Liabilities (Includes MIP) September 30, 2015 Pooled Money Investment Board Page 5

7 Municipal Investment Pool Deposits as of September 30, 2015 Deposits OMIP FX 30 FX 90 FX 180 FX 365 TOTAL Prior Month Change State Agencies $840,988 $0 $0 $0 $0 $840,988 $829,965 $11,023 Cities 141,257,002 $0 $12,324,783 $16,598,294 16,684, ,864, ,240,229 (26,376,015) Counties 115,257,909 $0 $2,456,625 $6,418,279 3,164, ,297, ,566,476 (8,268,731) Schools 306,230,987 $200,280 $201,246 $1,000,000 10,000, ,632, ,546,477 (52,913,963) Other 94,406,847 $0 $3,200,000 $4,950,882 4,756, ,314, ,379,600 (1,065,212) Total $657,993,733 $200,280 $18,182,654 $28,967,454 $34,605,726 $739,949,848 $828,562,747 ($88,612,899) Prior Month $743,495,298 $200,275 $17,864,004 $31,147,443 $35,855,726 $828,562,747 Change ($85,501,565) $5 $318,650 ($2,179,989) ($1,250,000) ($88,612,899) September 30, 2014 Change From Prior Year $726,487,559 $1,450,863 $33,451,246 $52,700,672 $31,745,175 $845,835,516 ($68,493,826) ($1,250,583) ($15,268,592) ($23,733,218) $2,860,551 ($105,885,668) Weighted Annual Annual Average Days to Month End Percentage Monthly Percentage Potential Open MIP # Active Maturity Rate Yield Average Rate Yield Entity Participants Accounts Participants OMIP FX State Agencies N/A 12 2 FX Cities FX Counties FX Schools MIP Other N/A Total 1, Prior Month Change 2 (0.006) (0.006) (0.005) (0.005) MIP Participant Activity Prior Month Principal Principal Interest Interest Statement Interest Earned Total Balance Ending Balance Deposits Withdrawals Posted Withdrawn Balance Not Posted Due Participants Variable Pools $743,495, ,702,448 (317,209,762) 5, ,993,733 0 $657,993,733 Fixed Rate Pools 85,067,449 9,071,431 (12,182,765) 7,239 (7,239) 81,956,115 25,950 81,982,065 Total $828,562, ,773,880 (329,392,527) 12,988 (7,239) 739,949,848 25,950 $739,975,799 September 30, 2015 Pooled Money Investment Board Page 6

8 Kansas Department of Transportation Investments as of September 30, 2015 Unrealized % Of Yield at Month End (%) Investments Par Value Amortized Cost Market Value Gain/Loss WAM (Days) Portfolio Sep-15 Aug-15 Jul-15 Jun-15 US Treasury Securities $0 $0 $0 $ % US Govt Agency Securities % US Mtg. Backed Securities 18,113 18,113 18,113 (1) % Municipal Securities % Commercial Paper 40,000,000 39,992,594 39,996,200 3, % Corporate Bonds % Repurchase Agreements % TOTAL $40,018,113 $40,010,707 $40,014,313 $3, % Prior Month's Totals $80,019,144 $79,995,137 $80,003,144 $8, Total Return (19.09) (5.46) Change from Prior Month ($40,001,031) ($39,984,430) ($39,988,831) ($4,401) (16) Benchmark (Yield) KDOT ADB Balance as of 9/30/2015 $203,600,000 Portfolio Return Comparison 70.0% % 360 PORTFOLIO PERFORMANCE FYTD 50.0% 320 Portfolio Average Yield (%) 0.28 Benchmark Yield (%) 0.22 Total Return (%) Portfolio Average Balance $76,942,485 Cash Average Balance (ADB) $316,056,131 Net Investment Income $55, % 30.0% 20.0% 10.0% 0.0% -10.0% -20.0% -30.0% Benchmark = Standard & Poor's LGIP Index EOM Total Return Benchmark September 30, 2015 Pooled Money Investment Board Page 7

9 Health Care Stabilization Fund Investments as of September 30, 2015 Unrealized % Of Yield at Month End (%) Par Value Amortized Cost Market Value Gain/Loss WAM (Days) Portfolio Sep-15 Aug-15 Jul-15 Jun-15 Investments US Treasury Securities $0 $0 $0 $ % US Govt Agency Debentures 120,677, ,193, ,295,162 4,101,551 1, % Corporate Bonds 135,975, ,350, ,914,482 3,564,054 1, % Commercial Paper % Repurchase Agreements 3,100,000 3,100,000 3,100, % TOTAL $259,752,000 $264,644,040 $272,309,644 $7,665,604 1, % Prior Month's Total $261,452,000 $266,498,595 $273,178,246 $6,679,651 1,604 Total Return (0.59) Change from Prior Month ($1,700,000) ($1,854,556) ($868,602) $985,954 (19) Benchmark (Yield) 0.92 (0.06) 0.46 (0.79) Portfolio Return Comparison 2.5% % % % 1580 PORTFOLIO PERFORMANCE FYTD 0.5% 1550 Portfolio Average Yield (%) % 1520 Total Return (%) % 1490 Benchmark Yield (%) 1.32 Portfolio Average Balance $266,470,093 Net Investment Income $2,019, % -1.5% -2.0% Benchmark = Combination of ten M/Lynch Indices Total Return Benchmark September 30, 2015 Pooled Money Investment Board Page 8

10 FY 2015 FY 2016 FY 2016 FY 2016 YTD YTD Actual YTD Annual Budget Actual Variance Percent REVENUES Budget YTD YTD From Budget Variance MIP Fees $172,523 $1,275,000 $318,750 $360,563 $41, % State Idle Fund Fees $407,497 $1,900,000 $474,999 $505,611 $30, % Health Care Stabilization Fund Fees $65,893 $250,000 $62,499 $67,796 $5, % KDOT Support Fee $0 $30,000 $0 $0 $0 0.0% Other Revenue $0 $0 $0 $0 $0 0.0% Total Revenues $645,913 $3,455,000 $856,248 $933,970 $77, % EXPENDITURES Pooled Money Investment Board Operating Statement Fiscal Year to Date Through September 30, 2015 SGF Transfer (vs Previous FY) $595,000 $875,000 $280, % Salaries $76,556 $327,490 $88,812 $87,018 $1, % Employee Benefits $25,266 $102,791 $27,921 $28,512 ($591) -2.1% Communication $610 $10,991 $2,031 $1,133 $ % Printing and Advertising $0 $500 $0 $0 $0 0.0% Rents - Software/Equipment $13,371 $58,100 $21,000 $19,330 $1, % Rents - State Building Costs $7,063 $35,820 $8,955 $8,936 $19 0.2% Repairs & Service $0 $350 $0 $0 $0 0.0% Travel $491 $5,850 $670 $324 $ % Fees - Other Services $14,692 $69,897 $17,004 $16,860 $ % Fees - Professional Services $8,883 $19,000 $0 $0 $0 0.0% Dues, Memberships, and Subscriptions $0 $250 $0 $0 $0 0.0% Office Supplies $1,301 $8,680 $2,160 $1,225 $ % Capital Outlay/Software Fees $2,551 $6,500 $2,300 $2,148 $ % Total Expenditures on Operations $150,783 $646,219 $170,853 $165,486 $5, % Revenues Greater (Less) Than Expenditures $495,130 $2,808,781 $685,395 $768,484 $83, % Hospitality $25 $800 $100 $26 $ % September 30, 2015 Pooled Money Investment Board Page 9

11 Pooled Money Investment Board Purchases/Maturities - Pooled Money Investment Portfolio For the Month of September 30, 2015 TRADE DATE SETTLEMENT PAR RATING SECURITY MATURITY PRINCIPAL COST A.I. PURCHASED TOTAL YTM WAM (DAYS) 8/28/2015 9/1/ ,000, A-1/P-1 Bank of Montreal CP 10/1/ ,994, ,994, /28/2015 9/1/ ,000, A-1/P-1 Bank of Montreal CP 10/1/ ,994, ,994, /28/2015 9/1/ ,000, A-1/P-1 BNP Paribas NY CP 10/1/ ,992, ,992, /28/2015 9/1/ ,000, A-1/P-1 BNP Paribas NY CP 10/1/ ,992, ,992, /18/2015 9/21/ ,000, A-1/P-1 ING Funding CP 12/4/ ,990, ,990, /18/2015 9/21/ ,000, FHLB Disc. Note 12/1/ ,988, ,988, /18/2015 9/21/ ,700, FHLB Disc. Note 12/1/ ,696, ,696, /18/2015 9/21/ ,000, FHLB Disc. Note 12/4/ ,992, ,992, /18/2015 9/21/ ,000, FNMA Disc. Note 12/1/ ,991, ,991, /18/2015 9/21/ ,900, FNMA Disc. Note 12/1/ ,891, ,891, /21/2015 9/22/ ,000, A-1/P-1 Caterpillar CP 12/17/ ,979, ,979, /21/2015 9/22/ ,700, FMCDN Disc. Note 12/15/ ,686, ,686, /22/2015 9/23/ ,000, FHLB Disc. Note 12/1/ ,988, ,988, /22/2015 9/23/ ,000, FHLB Disc. Note 12/15/ ,984, ,984, /23/2015 9/25/ ,000, A-1+/P-1 Microsoft CP 12/1/ ,984, ,984, /23/2015 9/25/ ,000, A-1+/P-1 Microsoft CP 12/1/ ,984, ,984, /25/2015 9/28/ ,000, FNMA, 0.875% 5/21/ ,924, , ,001, /29/2015 9/30/ ,000, A-1+/P-1 US Bank NA, 0.150% OCP 10/30/ ,000, ,000, ,300, ,056, , ,133, MATURITIES PAR SECURITY YTM 09/01/ ,000, Bank of Montreal CP /01/ ,000, Bank of Montreal CP /01/ ,000, Nestle Finance Intl CP /01/ ,000, Coca-Cola Co CP /01/ ,000, ING Funding LLC CP /01/ ,000, General Electric CC CP /01/ ,000, General Electric CC CP /01/ ,000, BNP Paribas NY CP /01/ ,000, BNP Paribas NY CP /01/ ,000, Credit Suisse NY CP /01/ ,000, Credit Suisse NY CP /01/ ,000, Toronto Dominion CP /01/ ,000, Toronto Dominion CP /01/ ,000, Bank of Nova Scotia CP /01/ ,000, Bank of Nova Scotia CP /01/ ,000, Bank of Nova Scotia CP /01/ ,000, General Electric CC CP /11/ ,000, Prudential Funding CP /30/ ,000, US Bank NA, 0.150% OCP ,000,000, September 30, 2015 Pooled Money Investment Board Page 10

12 Pooled Money Investment Board Purchases/Sales/Maturities - KDOT & Health Care Stabilization Fund For the Month of September 2015 KDOT TRADE DATE SETTLEMENT PAR RATING SECURITY MATURITY PRINCIPAL COST A.I. PURCHASES TOTAL YTM WAM (DAYS) No purchases for September MATURITIES YTM 09/24/ ,000, BNP Paribas NY CP /24/ ,000, Bank of Nova Scotia CP ,000, HEALTH CARE STABILIZATION FUND TRADE DATE SETTLEMENT PAR RATING SECURITY MATURITY PRINCIPAL COST A.I. PURCHASES TOTAL YTM WAM (DAYS) No purchases for September MATURITIES YTM 09/11/2015 1,000, FHLB, 5.250% /30/2015 1,000, Merrill Lynch, 5.300% ,000, ^^^ Sale September 30, 2015 Pooled Money Investment Board Page 11

13 Pooled Money Investment Board Broker / Dealer Trading Activity & Repurchase Agreements September 2015 TRADING ACTIVITY Includes PMIP, KDOT & HCSF Purchases July 2015 August 2015 September 2015 Total FYTD FYTD Broker / Dealer Par Value Par Value Par Value Par Value Percentage U.S. Bank 150,000, ,000, ,000, ,000, JP Morgan Chase & Co. 100,000, ,400, ,400, Wells Fargo Securities, LLC 28,500, ,000, ,500, Bank of Montreal 0 75,000, ,000, ,000, Bank of Nova Scotia (New York) 150,000, ,000, BNP Paribas (New York) 50,000, ,000, ,000, Exxon Mobil Corp. 25,000, ,000, ,000, Toyota Motor Credit Corp. 150,000, ,000, UBS Securities, LLC ,900, ,900, Banc of America Securities 1,950, ,000,000 15,000, ,950, Prudential Funding 100,000, ,000, Credit Suisse 0 50,000, ,000, GE 0 50,000, ,000, TD Securities (USA), LLC 0 50,000, ,000, Goldman Sachs & Co. 1,900, ,900, Chevron Corp CitiGroup Global Markets, Inc Deutsche Bank Securities HSBC Finance Corp Rabobank USA Finance Corp ,350, ,000, ,300,000 2,241,650, REPURCHASE AGREEMENTS - For the Month of September 2015 PMIP Only Bloomberg Broker / Dealer Total Amount Average Rate Average Rate Percentage UBS Securities 10,986,900, Bank of Nova Scotia 247,900, Bank of Montreal 32,000, Deutsche Bank Securities 24,000, ,290,800, September 30, 2015 Pooled Money Investment Board Page 12