Portfolio Master Summary: This one page report summarizes all cash and investments held by the Water Authority.

Transcription

1 October 19, 2016 Attention: Administrative and Finance Committee Monthly Treasurer s Report on Investments and Cash Flow Purpose The purpose of the Treasurer s Report is to provide monthly financial information to the Board of Directors. Attached for review by the Administrative and Finance Committee and the Board of Directors is the Treasurer s Report as of September 30, The reports are formatted to provide information as required by the California Government Code and the San Diego County Water Authority s Annual Statement of Investment Policy, which was last adopted by the Board on December 10, A brief description of each report follows: Portfolio Master Summary: This one page report summarizes all cash and investments held by the Water Authority. Portfolio Characteristics: This one page snapshot shows the Water Authority s portfolio holdings by type and percentage; the maturity distribution of the portfolio; the portfolio yield for the past twelve months, with and without bond-related funds, compared to a rolling average yield of the Board adopted benchmark; the credit quality of the portfolio s holdings; the cash flow projections for the next six months; and relevant market information. Chandler Portfolio Summary: This one page snapshot shows the Chandler Asset portfolio holdings including average duration, coupon, yield and ratings; account summary; top issuers; issuer allocation; maturity distribution; and the managed portfolio yield compared to the benchmark. Portfolio Details - Investments: This report takes the summary information listed in the Portfolio Master Summary and provides details of active investments. Activity Summary: This one page report produces a thirteen-month rolling summary of portfolio investment activity. The Water Authority s portfolio is diversified among investment types, with a current concentration toward short-term maturities. This concentration is the result of cash flow needs, as well as the current historic low interest rate environment. The portfolio is comprised of high quality investments, with 75 percent currently invested in AAA rated or AAA/AA+ split-rated securities. In September 2016, the Water Authority s overall portfolio yield decreased slightly from 1.09 percent to 1.07 percent and continues to exceed the investment benchmark of 0.70 percent. Bond Fund proceeds for the Water Authority s Capital Improvement Program expenditures are expected to be drawn down over the next two months. All investments have been made in accordance with the San Diego County Water Authority Statement of Investment Policy. This report provides documentation that the Water Authority has

2 Administrative and Finance Committee October 19, 2016 Page 2 of 2 sufficient funds to meet the financial obligations for the next six months. The market value information is provided by Bloomberg L.P. and is as of the report date. Lisa Marie Harris, Director of Finance/Treasurer

3 PORTFOLIO MASTER SUMMARY as of September 30, 2016 PORTFOLIO PERCENTAGES Investment Type Permitted By Board Policy Portfolio Percentage Book Value Local Agency Investment Fund (LAIF) $50 Million 13.16% $ 49,899,732 Banker's Acceptances 20% 0.00% - Treasury Securities 15% - Minimum 15.92% 60,320,820 Agency Securities 85% 47.68% 180,651,424 Supranational Securities 10% 0.00% - Repurchase Agreements 20% 0.00% - Reverse Repurchase Agreements 20% 0.00% - Placement Service Certificates of Deposit 15% 0.00% - Negotiable Certificates of Deposit 15% 0.00% - Commercial Paper 25% 6.03% 22,834,841 Medium Term Notes/Corporates 30% 7.96% 30,156,703 Municipal Securities 20% 0.00% - JPA Pools (CAMP) 25% 9.11% 34,496,207 Money Market Funds 15% 0.13% 501, % $ 378,861,121 Accrued Interest (unavailable for investing) 29,229 Checking/Petty Cash/Available Funds (unavailable for investing) 57,806 Subtotal for Pooled Funds: $ 378,948,156 Bond/CP Fund Excluded from Portfolio Percentages: Treasury Securities - Agency Securities - Placement Service Certificates of Deposit - Commercial Paper - Local Agency Investment Fund (LAIF) 32,229,483 JPA Pools (CAMP) 3,895,904 Money Market Funds and Cash 4 $ 36,125,391 Accrued Interest (unavailable for investing) - Subtotal for Bond/CP Fund (available for CIP expenditures): $ 36,125,391 Debt Service Reserve (DSR) Funds Excluded from Portfolio Percentages: Trinity Plus - Reserve (GIC) - Series 1998A COPs 12,240,775 Subtotal for Debt Service Reserve Funds (unavailable for CIP expenditures): $ 12,240,775 Total Cash and Investments $ 427,314,322 PORTFOLIO INFORMATION Pooled Bond/CP Debt Service Funds ** Fund Reserve Total * Portfolio Yield to Maturity Days 0.97% 0.64% 5.55% 1.07% Term Days to Maturity (730 Days Maximum) * "The weighted average days to maturity of the total portfolio shall not exceed 730 days (two years) to maturity" per SDCWA Investment Policy. ** Pooled Funds include Operating, Pay Go, RSF, Equipment and Stored Water funds.

4 Portfolio Characteristics as of September 30, 2016 Asset Allocation Maturity Distribution Agencies 47.7% 1.2% 1.0% 0.8% 0.6% 0.4% 0.2% 0.0% October November December January February March April May P o o l e d Portfolio Yield: October September 2016 Month End Commercial Paper 6.0% Medium Term Notes/Corporates 8.0% FNMA 15.4% FHLMC 10.1% Investment Maturities FHLB 14.2% June Projected Cash Flows (in Millions) * Projected Receipts JPA Pools (CAMP) 9.1% FFCB 8.0% LAIF 13.2% Money Market 0.1% Treasuries 15.9% Projected Disbursements Millions July $150 $100 CWA Yield CWA Yield (Excluding Bond/CP & DSR Funds) 2-Year U.S. Treasury Constant Maturity (Rolling 24-month ) $50 $- Reinvestment/ (Use) of Liquid Funds August F u n d s 0-3 Month 3-6 Month 6-9 Month 9-12 Month 1-2 Year 2-3 Year 3-5 Year September Projected Cash & Investments Pooled Funds Sept 16 $ Oct Nov Dec (5.27) Jan Feb Mar Bond/CP Fund Sept 16 $ Oct (35.09) 1.04 Nov (1.03) - Dec Jan Feb Mar * Numbers may not foot due to rounding 4% 3% 2% 1% 0% 3 Mo. 6 Mo. 1 Yr. 2 Yr. 3 Yr. Credit Quality Pooled Funds % of Portfolio US Treasury (AAA/AA+) 15.9% Agency (AAA/AA+) 47.7% Other (AAA)* 11.3% AA** 11.9% not rated *** 13.2% 100.0% * Includes money market funds, JPA pools (CAMP) and medium term notes/corporates ** Includes commercial paper and medium term notes/corporates; the Water Authority s Investment Policy does not permit investments with a rating below A- *** Includes LAIF, which is part of the state investment pool, and is not rated U.S. Treasury Yield Curve 5 Yr. 7 Yr. 10 Yr. 8/31/2016 9/30/2016 Market Notes On September 21st, the FOMC maintained the target for the federal funds rate to a range of basis points. The next meeting is November 2nd. 30 Yr.

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6 CUSIP Investment # Managed Pool Accounts Issuer Balance SDCWA - Fiscal Year 2017 Portfolio Management Portfolio Details - Investments September 30, 2016 Purchase Par Value Market Value Book Value Stated Rate S&P YTM Days to 365 Maturity CASH35 73 CAMP - OPERATING/POOLED 34,496, ,496, ,496, AAA CASH CAMP B BONDS-BABS 3,895, ,895, ,895, AAA CASH GOLDMAN B BONDS-BABS 07/01/ AAA CASH GOLDMAN - OPERATING/POOLED 501, , , AAA CASH13 72 LAIF - OPERATING 49,899, ,899, ,899, CASH LAIF B BONDS-BABS 32,229, ,229, ,229, CASH TRINITY PLUS A 12,240, ,240, ,240, AA CASH US BANK MONEY MARKET FUND AAA Page 1 Maturity Subtotal and 131,113, ,263, ,263, ,263, Medium Term Notes AQ APPLE INC. 02/20/2015 1,950, ,995, ,982, AA /06/ AJ APPLE INC. 04/28/2015 2,000, ,998, ,991, AA /03/ BH BERKSHIRE HATHAWAY INC. 03/19/2015 2,000, ,013, ,017, AA /09/ BL BERKSHIRE HATHAWAY INC. 06/18/2015 2,000, ,046, ,010, AA ,047 08/14/ AE CHEVRON CORP. 02/18/2015 2,000, ,013, ,015, AA /24/ AN CHEVRON CORP. 05/15/2015 2,000, ,045, ,027, AA ,140 11/15/ GAD EXXON MOBIL 04/28/2015 2,000, ,024, ,030, AAA /15/ GAL EXXON MOBIL 06/18/2015 2,000, ,007, ,998, AAA /06/ AY MICROSOFT CORP. 07/30/2015 2,000, ,033, ,999, AAA ,229 02/12/ AY MICROSOFT CORP. 08/31/2015 2,000, ,033, ,999, AAA ,229 02/12/ EG PROCTER & GAMBLE 03/30/2015 2,000, ,043, ,028, AA ,126 11/01/ TCZ TOYOTA MOTOR CREDIT CORP. 05/27/2016 2,000, ,025, ,999, AA ,650 04/08/ HML US Bank NA 01/27/2016 2,000, ,042, ,010, AA ,122 10/28/ HML US Bank NA 03/18/2016 2,000, ,042, ,011, AA ,122 10/28/ DJ WAL-MART STORES 05/15/2015 2,000, ,037, ,038, AA /15/2018 Subtotal and 30,161, ,950, ,403, ,161, Commercial Paper - Discount 46640PKM JP MORGAN SECURITIES LLC 01/28/2016 4,000, ,969, ,969, A /21/ PR JP MORGAN SECURITIES LLC 08/31/2016 5,000, ,970, ,970, A /03/ GNP TOYOTA MOTOR CREDIT CORP. 04/28/2016 5,000, ,962, ,962, AA /23/ GPA TOYOTA MOTOR CREDIT CORP. 05/18/2016 5,000, ,962, ,962, AA /10/ GRU TOYOTA MOTOR CREDIT CORP. 08/31/2016 4,000, ,970, ,970, AA /28/2017 Subtotal and 26,778, ,000, ,834, ,834, Portfolio CWA2 CC Run : 10/06/ :01 PM (PRF_PM2) Report Ver b

7 SDCWA - Fiscal Year 2017 Portfolio Management Portfolio Details - Investments September 30, 2016 Page 2 CUSIP Investment # Federal Agency - Coupon Issuer Balance Purchase Par Value Market Value Book Value Stated Rate S&P YTM Days to 365 Maturity 31331JX FEDERAL FARM CREDIT BANK 04/19/2012 4,000, ,003, ,132, AA /28/ ECMM FEDERAL FARM CREDIT BANK 04/25/2013 6,000, ,999, ,991, AA /25/ EDUE FEDERAL FARM CREDIT BANK 09/19/2014 7,900, ,895, ,872, AA /05/ EDXA FEDERAL FARM CREDIT BANK 10/28/2014 1,000, , ,006, AA /10/ QGB FEDERAL FARM CREDIT BANK 10/28/2014 2,455, ,572, ,767, AA /25/ EEWN FEDERAL FARM CREDIT BANK 05/21/2015 5,000, ,005, ,003, AA /06/ EEWG FEDERAL FARM CREDIT BANK 04/28/2016 3,500, ,512, ,524, AA /01/ XMTE FEDERAL HOME LOAN BANK 10/28/2014 1,000, ,044, ,115, AA /30/ A0QT FEDERAL HOME LOAN BANK 12/18/2014 1,500, ,509, ,511, AA /17/ A4Q FEDERAL HOME LOAN BANK 03/18/2015 6,000, ,011, ,997, AA /17/ A53Z FEDERAL HOME LOAN BANK 04/29/2015 3,500, ,494, ,496, AA /23/ M FEDERAL HOME LOAN BANK 04/29/2015 3,500, ,548, ,534, AA /08/ A4GJ FEDERAL HOME LOAN BANK 05/21/2015 5,000, ,026, ,017, AA /25/ A4GJ FEDERAL HOME LOAN BANK 10/30/2015 5,000, ,026, ,028, AA /25/ A4GJ FEDERAL HOME LOAN BANK 11/23/2015 8,000, ,041, ,009, AA /25/ LJ FEDERAL HOME LOAN BANK 01/28/2016 1,855, ,854, ,855, AA /16/ A4GJ FEDERAL HOME LOAN BANK 01/28/2016 8,145, ,187, ,182, AA /25/ A4GJ FEDERAL HOME LOAN BANK 02/24/ ,000, ,052, ,063, AA /25/ EAAJ FEDERAL HOME LOAN MORTGAGE COR 08/09/2013 5,000, ,009, ,689, AA /18/ EADS FEDERAL HOME LOAN MORTGAGE COR 08/23/2013 6,000, ,001, ,974, AA /14/ EACA FEDERAL HOME LOAN MORTGAGE COR 10/30/2015 5,000, ,343, ,422, AA /27/ EACA FEDERAL HOME LOAN MORTGAGE COR 11/23/2015 4,000, ,274, ,309, AA /27/ EADM FEDERAL HOME LOAN MORTGAGE COR 04/28/2016 2,000, ,015, ,007, AA ,096 10/02/ EAEA FEDERAL HOME LOAN MORTGAGE COR 05/18/2016 8,500, ,500, ,489, AA /09/ EADZ FEDERAL HOME LOAN MORTGAGE COR 05/18/2016 6,500, ,542, ,532, AA /15/ G0JA FEDERAL NATION MORTAGE ASSOC. 07/23/2013 4,000, ,011, ,012, AA /27/ G0JA FEDERAL NATION MORTAGE ASSOC. 09/17/2013 8,000, ,023, ,978, AA /27/ G0JA FEDERAL NATION MORTAGE ASSOC. 11/20/2013 4,000, ,011, ,037, AA /27/ G0JA FEDERAL NATION MORTAGE ASSOC. 12/19/2013 4,000, ,011, ,038, AA /27/ G0ZB FEDERAL NATION MORTAGE ASSOC. 03/13/2014 3,500, ,504, ,486, AA /20/ G0PQ FEDERAL NATION MORTAGE ASSOC. 03/13/2014 4,000, ,002, ,966, AA /26/ G0PQ FEDERAL NATION MORTAGE ASSOC. 03/20/2014 7,000, ,004, ,941, AA /26/ G0ZB FEDERAL NATION MORTAGE ASSOC. 04/15/2014 5,000, ,006, ,980, AA /20/ G0PQ FEDERAL NATION MORTAGE ASSOC. 04/15/2014 6,000, ,004, ,947, AA /26/ G0JA FEDERAL NATION MORTAGE ASSOC. 09/19/2014 5,263, ,278, ,281, AA /27/ G0ZB FEDERAL NATION MORTAGE ASSOC. 12/18/2014 3,500, ,504, ,494, AA /20/2017 Maturity Portfolio CWA2 CC Run : 10/06/ :01 PM (PRF_PM2) 7.3.0

8 SDCWA - Fiscal Year 2017 Portfolio Management Portfolio Details - Investments September 30, 2016 Page 3 CUSIP Investment # Federal Agency - Coupon Issuer Balance Purchase Par Value Market Value Book Value Stated Rate S&P YTM Days to 365 Maturity 3135G0E FEDERAL NATION MORTAGE ASSOC. 12/31/2015 4,000, ,021, ,974, AA /19/2018 Treasury Securities - Coupon Subtotal and 180,675, ,618, ,855, ,675, RM UNITED STATES TREASURY 04/19/ ,000, ,005, ,110, AA /31/ RM UNITED STATES TREASURY 10/25/2012 5,000, ,002, ,082, AA /31/ TW UNITED STATES TREASURY 02/20/2014 5,000, ,003, ,956, AA /31/ C UNITED STATES TREASURY 04/24/2014 6,000, ,011, ,998, AA /15/ C UNITED STATES TREASURY 01/27/2015 4,000, ,007, ,021, AA /15/ UZ UNITED STATES TREASURY 04/15/ ,000, ,984, ,930, AA /30/ D UNITED STATES TREASURY 09/29/2015 6,000, ,116, ,098, AA /30/ D UNITED STATES TREASURY 11/23/2015 4,000, ,077, ,038, AA /30/ K UNITED STATES TREASURY 04/21/ ,000, ,131, ,082, AA ,307 04/30/2020 Subtotal and 60,320, ,000, ,341, ,320, Maturity Total and 430,827, ,831, ,698, ,256, Portfolio CWA2 CC Run : 10/06/ :01 PM (PRF_PM2) 7.3.0

9 SDCWA - Fiscal Year 2017 Portfolio Management Portfolio Details - Cash September 30, 2016 Page 4 CUSIP Investment # Passbook/Checking Accounts Issuer Balance Purchase Par Value Market Value Book Value Stated Rate S&P YTM Days to 365 Maturity CASH01 48 PETTY CASH 07/01/2016 2, , , CASH WELLS FARGO - OPERATING/POOLED 63, , , CASH WELLS FARGO - PAYROLL ZBA 07/01/2016-7, , , CASH WELLS FARGO B BONDS-BABS 07/01/ Balance Total Cash and Investments ,827, ,889, ,755, ,314, Portfolio CWA2 CC Run : 10/06/ :01 PM (PRF_PM2) 7.3.0

10 SDCWA - Fiscal Year 2017 Portfolio Management Activity Summary September 2015 through September 2016 Page 1 Month End Year Number of Securities Total Invested 360 Equivalent Yield to Maturity 365 Equivalent Managed Pool Rate Number of Investments Purchased Number of Investments Redeemed Term Days to Maturity September ,931, October ,676, November ,146, December ,373, January ,000, February ,572, March ,270, April ,354, May ,695, June ,038, July ,961, August ,125, September ,256, ,569, % 0.951% Portfolio CWA2 CC Run : 10/06/ :01 PM (PRF_PM4) Report Ver b