County of Monterey Investment Portfolio Compliance Report July 31, 2017 County of Monterey Investment Portfolio Compliance Report July 31, 2017 Sarah Meacham Managing Director 50 California Street Suite 2300 San Francisco, CA 94111 PFM Asset Management LLC 50 California Street, Suite 2300 San Francisco, CA 94111 (415) 982-5544 www.pfm.com 415-982-5544 www.pfm.com PFM Asset Management LLC
Monterey County: Overview of Compliance Requirements July 31, 2017 Sector Sector Limitation Maximum Per Issuer Maximum Maturity Minimum Credit Requirements In Compliance LAIF $65 million $65 million N/A None YES CAMP 20% 20% N/A None YES CalTrust 20% 20% N/A None YES Monterey County Bonds 10% 5% 5 years None YES U.S. Treasury 100% 100% 5 years None YES Municipal - CA and Other 49 States 100% 5% 5 years None YES Municipal - CA Local Agency 100% 5% 5 years None YES Federal Agency/GSE 100% 100% 5 years None YES Bankers' Acceptance 40% 5% 180 days A-1/P-1 by NRSRO YES Commercial Paper 40% 5% 270 days A-1/P-1 by NRSRO YES Negotiable CD 30% 5% 5 years A or A-1 by NRSRO YES Reverse Repo/Securities Lending 20% N/A 92 days None YES Repurchase Agreements 20% N/A 1 year None YES Corporate 30% 5% 5 years A by NRSRO YES Money Market Funds 20% 10% N/A AAA by 2 NRSRO/Advisor Req. YES Collateralized Deposits/Inv. Contracts 100% 100% 5 years Insured/Collateralized YES Asset-Backed Securities 20% 5% 5 years AA by NRSRO YES Comments The County s portfolio is in compliance with the California Government Code and the County s Investment Policy. PFM Asset Management LLC 2
Monterey County: Sector Allocations July 31, 2017 Sector Market Value Sector Limit Current Allocation In Compliance LAIF $5,200,000 $65 million 0.4% YES CAMP $66,900,000 20% 5.4% YES CalTrust $20,000,000 20% 1.6% YES Monterey County Bonds None 10% None YES U.S. Treasury $358,945,197 100% 29.1% YES Municipal - CA and Other 49 States None 100% None YES Municipal - CA Local Agency None 100% None YES Federal Agency/GSE $412,483,279 100% 33.4% YES Bankers' Acceptance None 40% None YES Commercial Paper $51,770,436 40% 4.2% YES Negotiable CD $105,621,758 30% 8.6% YES Reverse Repo/Securities Lending None 20% None YES Repurchase Agreements None 20% None YES Corporate $211,725,650 30% 17.2% YES Money Market Funds $800,001 20% 0.1% YES Collateralized Deposits/Inv. Contracts None 100% None YES Asset-Backed Securities None 20% None YES Totals $1,233,446,321 100.0% Federal Agency/GSE 33.4% Sector Distribution Commercial Paper 4.2% Negotiable CD 8.6% Corporate 17.2% U.S. Treasury 29.1% CalTrust 1.6% CAMP 5.4% Money Market Funds 0.1% LAIF 0.4% PFM Asset Management LLC 3
Millions Monterey County: Maturity Limits July 31, 2017 Sector Market Value Maximum Maturity Current Maximum In Compliance LAIF $5,200,000 N/A 1 day YES CAMP $66,900,000 N/A 1 day YES CalTrust $20,000,000 N/A 1 day YES Monterey County Bonds None 5 years - YES U.S. Treasury $358,945,197 5 years 2.5 years YES Municipal - CA and Other 49 States None 5 years - YES Municipal - CA Local Agency None 5 years - YES Federal Agency/GSE $412,483,279 5 years 2.6 years YES Bankers' Acceptance None 180 days - YES Commercial Paper $51,770,436 270 days 192 days YES Negotiable CD $105,621,758 5 years 1.7 years YES Reverse Repo/Securities Lending None 92 days - YES Repurchase Agreements None 1 year - YES Corporate $211,725,650 5 years 2.8 years YES Money Market Funds $800,001 N/A 1 day YES Collateralized Deposits/Inv. Contracts None 5 years - YES Pass-Through Securities None 5 years - YES Total/Average Weighted Maturity $1,233,446,321 2 years 0.00 years YES Portfolio Maturity Distribution $500 $488.93 $400 $364.66 $300 $200 $100 $92.90 $74.14 $107.85 $104.97 $0 Overnight 1 Day - 3 Months $0.00 $0.00 $0.00 3-6 Months 6-12 Months 1-2 Years 2-3 Years 3-4 Years 4-5 Years Over 5 Years PFM Asset Management LLC 4
Monterey County: Issuer Compliance July 31, 2017 Issuer Total Current Issuer Allocation Issuer Limit In Compliance U.S. Treasury $358,945,197 29.1% 100% YES FHLB $165,061,722 13.4% 100% YES FNMA $150,112,549 12.2% 100% YES FHLMC $57,321,269 4.6% 100% YES FFCB $39,987,740 3.2% 100% YES Toyota Motor Credit $25,049,495 2.0% 5% YES IBM $20,082,300 1.6% 5% YES Wells Fargo $20,067,440 1.6% 5% YES Apple $16,126,704 1.3% 5% YES Microsoft Corp Notes $12,398,513 1.0% 5% YES General Electric Capital $10,132,270 0.8% 5% YES American Express $10,101,000 0.8% 5% YES Bank of New York $10,085,040 0.8% 5% YES Intel $10,008,900 0.8% 5% YES JP Morgan Chase $10,006,980 0.8% 5% YES Pfizer $10,004,050 0.8% 5% YES Cisco Systems $8,964,459 0.7% 5% YES Goldman Sachs $8,647,546 0.7% 5% YES John Deere Capital $8,347,518 0.7% 5% YES Chevron $8,191,693 0.7% 5% YES American Honda Finance $6,265,845 0.5% 5% YES Coca-Cola $4,422,847 0.4% 5% YES PepsiCo $3,851,810 0.3% 5% YES Citigroup $3,846,943 0.3% 5% YES Disney $2,715,851 0.2% 5% YES Berkshire Hathaway $2,408,448 0.2% 5% YES Toronto Dominion Bank NY $18,035,262 1.5% 5% YES Royal Bank of Canada NY $18,030,780 1.5% 5% YES Nordea Bank Finland NY $17,558,450 1.4% 5% YES HSBC USA $14,008,890 1.1% 5% YES PFM Asset Management LLC 5
Monterey County: Issuer Compliance July 31, 2017 Issuer Total Current Issuer Allocation Issuer Limit In Compliance Svenska Handelsbanken NY $14,004,256 1.1% 5% YES Skandinaviska Enskilda Bank NY $13,992,300 1.1% 5% YES Bank of Nova Scotia Houston $9,991,820 0.9% 5% YES Credit Agricole CIB NY $19,971,480 1.6% 5% YES Canadian Imperial Bank NY $19,889,520 1.6% 5% YES Bank of Tokyo Mitsubishi $11,909,436 1.0% 5% YES CAMP $66,900,000 5.4% 20% YES CalTrust $20,000,000 1.6% 20% YES LAIF $5,200,000 0.4% $65 million YES Fidelity $800,000 0.1% $65,000,000 YES Morgan Stanley $1 0.0% 10% YES $1,233,446,321 100% PFM Asset Management LLC 6
Monterey County: Notes July 31, 2017 The purpose of this report is to verify the accuracy of the County s portfolio holdings information and verify the portfolio s compliance with the California Government Code and County s Investment Policy as of the date of the report. The report was prepared using the month-end portfolio holdings and market value information provided by PFM. PFM s market prices are derived from closing bid prices as of the last business day of the month as supplied by F.T. Interactive Data, Bloomberg or Telerate. Prices that fall between data points are interpolated. Percentages listed in this report were calculated using market values as of month-end. Using the CUSIPs provided by the County, issuer information and credit ratings were verified on Bloomberg for compliance purposes. This report is for the purposes indicated above and it is not intended to provide specific investment advice or recommendations. PFM Asset Management LLC 7
Monterey County July 31, 2017 County Comments County comments: PFM Asset Management LLC 8