CITY OF SIMI VALLEY MEMORANDUM

Transcription

1 CITY OF SIMI VALLEY MEMORANDUM AGENDA ITEM NO. Consent (2) TO: FROM: City Council Department of Administrative Services January 25, 2016 SUBJECT: APPROVAL OF THE MONTHLY INVESTMENT REPORT FOR THE MONTH ENDING DECEMBER 31, 2015 The City has contracted with an investment advisory firm, Cutwater Asset Management ( Cutwater ). As part of the City s agreement with Cutwater, they prepare the Monthly Investment Report. Data provided by Cutwater is attached. Information contained in that report is summarized below: Percentage of the portfolio represented by each investment category o Cash and Cash Equivalents: 44% o U.S. Treasury: 18% o U.S. Agencies: 38% A listing of individual securities held at the end of the reporting period by authorized investment category. Includes the type of investment, name of the issuer, security or certificate number. Coupon, discount, or earnings rate; (shown under Rate/Coupon for each investment listed). Weighted Average Effective Maturity of Advisor Managed Investments: 1.94 years Weighted Average Yield on Advisor Managed portfolio:.84%. The fair market value of a portfolio invested in debt securities changes from month to month and typically moves in the opposite direction of the change in interest rates demanded by the marketplace for the period in question. For example, annualized Treasury Yield Curve Rates for three-year treasury notes increased from 1.24% on November 30, 2015 to 1.31 % on December 31, A Fixed Income Market Review through December 31, 2015 is included to provide the current economic conditions. The fair market value of all investments as of December 31, 2015 held by the City (excluding investments held by bond trustee): $116,254,195. The portfolio is in compliance with the City s Statement of Investment Policy. The City has sufficient liquidity to meet expenditure requirements for at least the next six months. Ken Al-Imam, CPA, Interim Director/Deputy City Treasurer Department of Administrative Services Prepared by: Laila Asgari, Senior Management Analyst

2 EI City of Simi ValleY Monthly Consolidated Portfolio Report December 31, 2015 ilrãlm CAMP,4% CAMP LAIF $ s 4,806,003 46,799,045 4% 40% 0.23% 0.38/o lnternally Managed s 51,605,047 44% Weighted Average Yield Effective Average Duration - lnternal Weighted Average Maturity - lnternal o,36% Days 7 t ilet!üt I Treasury Securities lnstrumentality Securities S S 20,907,148 43,742,000 L8% 38% o.78% 0.87lo Treasury securities,18% Externally Managed S 64,649,L48 s6% Welghted Average Yield o.84% Effective Average Duration - External Weighted Average Maturity - External Years 1,.70 lnstrumentallty I.g4 Securities,33% bfãrùñftlrcngß illtãilt t CAMP LAIF Treasury Securities lnstrumentality Securities Portfolio Assets s 4,806, ,79e,04s s 20,907, ,742,000 S u6,254,195 4% 40% 78% 38% 0.23% 0.38% 0.78% 0.87% lnstrumental ty Securities 38% CAMP LAIF 40% Weighted Average Yield 0.63% Years Effective Average Duration - Weighted Average MaturitY Treasury securities t8% ErlfäEndt*filE Beginning Balance Ending Balance s s 104,374,85r LL6,254,t95 * Note: All data for external assets was provided by the client and is believed to be accurate. lnsight lnvestment does not manage the external assets and this report is provided for the client's use. Market values are presented,

3 FIXED INCOME MARKET REVIEW CITY OF SIMIVALLEY As of December 31,20'a x(l, Eso Ê s o = Chart 1 : lnstitute for Supply Management 1 1/201 O Economic lndicators & Monetary Policy: The final estimate of third quarter Gross Domestic Product was revised downward to 2.0 percent. The estimate however, exceeded analyst expectations of a 1.9 percent GDP growth rate. GDP growth has topped 2.0 percent for five of the last six quarters. On an annual basis, the GDP growth rate is 2-1 percent. The lnstitute for Supply Management's (lsm) manufacturing index decreased to 48.ó. Figures below 50 indicate contraction, and the lsm manufacturing index fell into contractionary levels for the first time since November, The lsm non-manufacturing index fell to 55.9 from 59.1 (See Chart 1). Strong and consistentjob growth was a theme throughout 2015, and the trend continued as 21 1,000 jobs were created in November. The unemployment rate remained at 5.0 percent, as the labor force partic pat on rate increased to ó2.5 percent'from 62.4 percent. The underemployment rate increased slightly to 9.9 percent from 9.8 percent. Modest wage growth was seen in November as average hourly earnings increased 0.2 percent on a month-over-month basis and 2.3 percent on a year-overyear basis. 30 Novl0 3.00% - Nov-11 Novl2 Nov-13 Novl4 Manufacturing -Non{/anufacturing Chart 2: Treasury Yield Curves 1 1 l3ol2o l2o'15 Nov-15 November inflation indicators showed signs of growth, as the Producer Price lndex (PPl) and Consumer Price lndex (CPl) both increased compared to the October reports. The PPI including and excluding food and energy both increased 0.3 percent on a month-over-month basis. ln October, PPI including food and energy fell 0.4 percent, while core PPI fell 0.3 percent. On a year-over-year basis, the PPI including food and energy fell 1.1 percent, compared to a 1.ó percent decrease in October, andcorepplincreased0-5percent,comparedtoa0.l percentincreasethemonthprior.cplincluding food and energy was flat on a month-over-month basis and increased 0.5 percent on a year-over-year basis in November. Core CPI grew 0.2 percent and 2.0 percent on a month-over-month and year-overyear basis, respectively. 2.50% 2.00o/o Existing home sales continued to fall in November, dropping percent to an annualized rate of 4.76 million. Forthe firsttime s nce February,2015, existing home sales dropped below 5 million on an annualized basis. New home sales increased 4.3 percent to an annualized rate of 490, % 1.OOo/o 0.50% t For the first time since 200ó the Federal Open Markets Committee (FOMC) voted to increase the Fed funds target rate. The target for the FOMC'S benchmark nterest rate is now percent, following the 0.25 percent increase- The Committee took the first step towards normalizing interest rates after a seven year period of historically low interest rates that also included three rounds of quantitative easing. % 3m 6m 'lyr 2yr 3yr 4yr 5yr 6yr 7yr 8yr I yr10 yr Charts sourced from Bloomberg Finance LP, November 30, 201 5, December 31, Past performance s not ndicat ve of future returns. Please see Addit onal information. Yield Curve & Spreads: At the end of December, the 3-month Treasury bill yielded 0.1 ó percent, the ó- month Treasury bill yielded 0.48 percent, the 2-year Treasury note yielded 1.05 percent, the S-year Treasury note yielded 1.7ó percent, and the 1 O-year Treasury note yielded2-27 percent (See Chart 2).. 2

4 ACTIVITY AND PERFORMANCE SUMMARY For the period December 1, December 31,2015 CITY OF SIMIVALLEY Opening balance lncome received Fair Value Basis Activity Summary 74, ,772, Detail of Fair Value Basis Return earned Change in fairvalue income receipts disbursements I nterportfolio transfers lnterportfolio transfers (74,s7s.00) 74, (74,575.00l. Government Agencies Government Bonds 34, , , (92,9ó) (29,996.00) (122,956.O01 (58,512.48) (7,49e.s4r' (76,011.O2l. Unrealized gain (loss) on security movements Return of capital Change in fair value for the period (122,956.00l. Ending fairvalue 64,649, Comparative Rates of Return (%) *Twelve * Six month trailing month trailing * One month Summary of Fair Value Cost Basis Return for the Period portfolio Excl. cash eq. Fed Funds OvernightRepo Merrill Lynch 3m US Treas Bill Merrill Lynch óm US Treas Bill ML 1 Year US Treasury Note 0.15 (0.0ó) ML US Treasury 'l (0.13) ML US Treasury (0.0e) (0.15) earned Change in fair value income on portfolio Average daily amortized Per od return (X) Weighted average final maturity n days 46, (122,es6.00) (76,011.02l' 64,976, ) , (122,956.00]. (76,011.02\ 64,976, (0.12) 668 * rates reflected are cumulative 3

5 RECAP OF SECURITIES HELD CITY OF SIMI VALLEY As of December 31,2015 Historical Amortized Fair value Unrealized gain (loss) Weighted average final maturity (days) Percent of portfolio Weighted average effective duration (years) Government Agencies 44,026,s7 44,021, ,742,00 (279,358.30) Government Bonds 20,949, ,963, Q,9Q7, (s6,493.22) 5ó irdãt EEF-T TTT] lfm Portfolio diversification (%) I GovernmentAgencies I Government Bonds r0 4

6 SECURITIES HELD As of December 31,2015 CITY OF SIMI VALTEY Cusip/ Description Government Agencies Coupon Maturity/ Call date Par value or Historical cosu shares Accruedinterest purchased Amortized cosv Accretion (amortization) Fair value/ Change in fair value Unrealized gain (loss) received earned accrued interest Port 31 34G55R t21t2017 2,000,00 2,002,52 2,001, ,99ó,80 (s,1 32-s1) 1, , FREDDIE MAC 0.65% 21t02t2017 (141.05) (1,94) 31 33ECAL8 FEDERAL FARM CREDIT BANK 0.73% 1 9 t06t2017 (CALLABLE 13t01t16]' t19t2017 3,000,00 3,000,00 3,000,00 3,000, (15) 3 10,95 1, G7MJ t2st2017 3,000,00 3,000,ó9 3,000, ,98ó,5ó (14,010.21]' 1, , FREDDIE MAC 0.75% 25t08t2017 (28.75\ (3,e0) 31 34G44N t28t2017 3,000,00 3,000,00 3,000,00 2,972,40 (27,ó0) 1, , FREDDIE MAC 0.75% 28t11t2017 CALLABLE (s,ó4) 31338C t12t2017 5,000,00 5,000,00 5,000,00 4,962,60 (37,40) 20,50 3,530.5ó 2, FEDERAL FARM CREDIT BANK 0.82% 1 2t 1 2t (CALLABLE 13t01t16\ (1 1,95) 3135G05W4 FANNIE MAE 0.875% 27t12t2O17 (CALLABLE 27t03t16) t27t t27t2016 3,000,00 3,000,00 3,000,00 2,978,460.O0 (10,980-00) (21,54) 13, , A3YY4 FEDERAL HOME LOAN BANK 1%26t01t2018 # t26t2018 3,000,00 3,009,3ó 3,008,016"72 (322.38\ 2,988,69 (8,88) (19,326.72\ 2, , G0TV5 FANNIE MAE 1.O3% 30t01 t201 I (CALLABLE 30/01 /1 6) /30/2018 o1t30t2016 3,000,00 3,000,00 3,000,00 2,985,66 (17,88) (14,34) 2, , ECHSó FEDERAL FARM CREDIT BANK 1.03% 12t03t2018 (CALLABLE 13t01t16) t12t2018 5,000,00 5,000,00 s,000,00 4,952,65 (47,35) 4, ,593.0ó 7.70 (8,10)

7 SECURITIES HELD CITY OF SIMI VALLEY As of December 31,2015 Cusip/ Description GovemmentAgencies Coupon Maturity/ Calldate Par value or shares Historical cosu Accrued interest purchased Amortized cosu Accretion (amortization) Fair value/ Change in fair value Unrealized gain (loss) received earned accrued interest Port 31 3óG1 G t13t2018 2,000,00 2,016,160.OO 2,012, ,003,26 (e,303.ó1) 2, , FANNTE MAE 1.25'{ 1 3t03t201 8 (47s.2e1 (4,40) CALLABLE #OOOO X t02t2018 3,000,00 3,000,000"00 3,000,00 2,982,39 (17,ó1) 2, , FEDERAL HOME LOAN BANK 't.04' 02r04t2018 (CALLABLE (s,ó7) 13t01r16) 31 3óG1 KDo /30/ ,000,00 3,000,00 3,000,00 2,974,02 (2s,98) 2,50 5, FANNIE MAE 1X 3OIO4I2O1 8 (CALLABLE 30/01/1 ó) # t30t2016 (10,80) 31 3óG1 KVo 0.87s o5t15t2018 3,000,00 3,000,00 3,000,00 2,983,53 (16,47O.00) 2, , FANNIE MAE 0.875% 15t05t2018 (CALLABLE 1st02t16) 02t15t2016 1,35 3 l 30A5BK t29t2018 3,000,00 2,997,84 2,998, ,974,95 (23,32s.4sl, 1s,00 2, FEDERAL HOME LOAN BANK (,02) 1%29t06t2018 #OOOO Govemment Bonds G t30t2016 2,000,00 1,997, ,998, ,994,ó88.00 (4,088.28) USA TREASURY 0.5% 30t (e3ó.00) H t31t2017 2,000,00 1,995, ,997,433jt9 1,992, (4,777.19) , UsA TREASURY O.5X 31t01t (1,01ó.00) M3 usa TREASURY 1r( 31 t03t t31t2017 3,000,00 3,026,25 3,015, ,004,ó86.00 (1 0,543.01) 2, , (1,03s.30) (3,399.00) 6

8 SECURITIES HELD CIW OF SIMI VALLEY As of December 31,2015 Cusip/ Description Govemment Bonds Coupon Maturity/ Calldate Par value or Historical cosu shares Accruedinterest purchased Amortized cosu Accretion (amortization) Fair value/ Change in fair value Unrealized gain {loss) received earned accrued interest % Port Y7 UsA TREASURY 0.625% 31t05t t31t2017 1,000,00 1,000,ó ,000, (2s.13) 995,58ó.00 (1,05s.00) (4,833.10) USA TREASURY 0.75X 30t06t t30t2017 2,000,00 1,998,75 1,999,202J ,993J5 (3,04ó.00) (s, ,s0 1,263.s rM2 USA TREASURY O.ó25% 31t08t20't t31t2017 3,000,00 2,989, ,993, ,45 2,980, (5,154.00) (12,s2e.70]' 1, , UsA TREASURY O.ó25% 30t09t r30t2017 2,000,00 1,98ó, ,991, ,986, (3,828.00) (4,990.41) 1, , ó rW0 USA TREASURY 0.75% 31tl0t t31t2017 2,000,00 1,990, ,993, ,989, (3,ó7) (4,22s.27r' 1, , UE8 USA TREASURY 0,75U 31tl2t t31t2017 2,000,00 1,983, ,988, ,986, (3,828.00) (2,364.79\ 7,s0 1, UR9 UsA TREASURY 0.75% 28t02t t28t2018 2,000,00 1,980, ,985, ,982, (4,064.00r' (2,689.31l 1, ,