MEMORANDUM AGENDA ITEM NO. Consent (1) TO: FROM: City Council Department of Administrative Services April 18, 2016 SUBJECT: APPROVAL OF THE MONTHLY INVESTMENT REPORT FOR THE MONTH ENDING MARCH 31, 2016 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: 43% o U.S. Treasury: 18% o U.S. Agencies: 39% 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 Maturity of Advisor Managed Investments: 1.63 years Weighted Average Yield on Advisor Managed portfolio:.85%. 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 decreased from.91% on February 29, 2016 to.87 % on March 31, 2016. A Fixed Income Market Review through March 31, 2016 is included to provide the current economic conditions. The fair market value of all investments as of March 31, 2016 held by the City (excluding investments held by bond trustee): $114,674,987. 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. Prepared by: Laila Asgari, Senior Management Analyst Jody Kershberg, Director/Deputy City Treasurer Department of Administrative Services
2 City of Simi Valley Monthly Consolidated Portfolio Report March 31, 2016 City Managed Assets % Return CAMP $ 4,811,274 4% 0.50% LAIF $ 44,834,137 39% 0.47% Total Internally Managed $ 49,645,410 43% CAMP, 4% Weighted Average Yield 0.47% Days Effective Average Duration - Internal 1 Weighted Average Maturity - Internal 1 LAIF, 39% Advisor Managed Assets % Return Treasury Securities $ 21,006,409 18% 0.78% Instrumentality Securities $ 44,023,168 39% 0.89% Total Externally Managed $ 65,029,577 57% Treasury Securities, 18% Weighted Average Yield 0.85% Years Effective Average Duration - External 1.14 Weighted Average Maturity - External 1.63 Instrumentality Securities, 39% Total Portfolio Assets % Return CAMP $ 4,811,274 4% 0.50% LAIF $ 44,834,137 39% 0.47% Instrumentality Securities 39% CAMP 4% LAIF 39% Treasury Securities $ 21,006,409 18% 0.78% Instrumentality Securities $ 44,023,168 39% 0.89% Total Portfolio Assets $ 114,674,987 Weighted Average Yield 0.69% Years Effective Average Duration - Total 1.08 Weighted Average Maturity - Total 1.36 Treasury Securities 18% Portfolio Change Beginning Balance Ending Balance $ $ 116,595,548 114,674,987 * Note: All data for external assets was provided by the client and is believed to be accurate. Insight Investment does not manage the external assets and this report is provided for the client's use. Market values are presented.
FIXED INCOME MARKET REVIEW Chart 1: Institute for Supply Management Indices 02/2011 02/2016 Monthly index (points) Chart 2: Treasury Yield Curves 02/29/2016 03/31/2016 Percentage 70.0 60.0 50.0 40.0 30.0 Feb-11 Feb-12 Feb-13 Feb-14 Feb-15 Feb-16 3.00% 2.50% 2.00% 1.50% 1.00% 0.50% Non-Manufacturing Manufacturing 3/31/2016 2/29/2016 0.00% 3 m 6 m 1 yr 2 yr 3 yr 4 yr 5 yr 6 yr 7 yr 8 yr 9 yr 10 yr Charts sourced from Bloomberg Finance LP February 29, 2016, March 31, 2016. Past performance is no assurance of future returns. Please refer to the important disclosures at the back of this presentation. Economic Indicators & Monetary Policy: The final estimate of 2015 fourth quarter Gross Domestic Product (GDP) was revised upward to 1.4 percent from 1.0 percent. Strong consumer spending helped support the increase in GDP. Manufacturing showed signs of growth in February as the Institute for Supply Management s (ISM) manufacturing index value increased to 49.5 from 48.2. While the index value remains below 50 indicating economic contraction, the February increase was the largest since April 2015. The ISM nonmanufacturing index value fell slightly, but remains strong at 53.4 (See Chart 1). 242,000 jobs were added to the work force in February, as the labor market continues its strong momentum. The unemployment rate remained at 4.9 percent, but the underemployment rate dropped to 9.7 percent from 9.9 percent. The underemployment rate once again reached a post-recession low. Further strength in employment was reported in February as the labor force participation rate increased to 62.9 percent from 62.7 percent. Wages fell slightly on a month-over-month basis, but grew at a 2.2 percent rate on an annual basis. Inflation indices were mixed in February. The Producer Price Index (PPI) including food and energy decreased to negative 0.2 percent on a month-over-month basis. Core PPI decreased as well, falling to 0.1 percent from 0.2 percent. On an annual basis, however, the headline PPI increased to 1.2 percent from 0.6 percent and the core PPI increased to 0.9 percent from 0.8 percent. On the consumer side, the headline Consumer Price Index (CPI) fell to negative 0.2 percent while the core CPI remained unchanged at 0.3 percent on a month-over-month basis. The year-over-year headline CPI was 1.0 percent while the core CPI was 2.3 percent. Inflation indicators may get a boost in March as oil prices have increased to roughly $40 dollars a barrel from $30 dollars a barrel in February. Housing starts bounced back in February, growing 5.2 percent to an annualized rate of 1.1 million. Existing home sales however, decreased 7.1 percent to an annualized rate of 5.08 million. The Federal Open Market Committee (FOMC) voted to maintain the Fed funds target rate at 0.25 percent to 0.50 percent during the March 16th meeting. The FOMC also revised its 2016 outlook, and now expects to raise the Fed funds target rate twice this year. Following the December meeting, the Committee projected three to four interest rate movements in 2016. Yield Curve & Spreads: At the end of March, the 3-month Treasury bill yielded 0.20 percent, the 6-month Treasury bill yielded 0.38 percent, the 2-year Treasury note yielded 0.72 percent, the 5-year Treasury note yielded 1.21 percent, and the 10-year Treasury note yielded 1.77 percent (See Chart 2). 3
ACTIVITY AND PERFORMANCE SUMMARY For the period March 1, 2016 - March 31, 2016 Fair Value Basis Activity Summary Opening balance 64,953,815.00 Income received 59,500.00 Total receipts 59,500.00 Total disbursements 0.00 Interportfolio transfers (59,500.00) Total Interportfolio transfers (59,500.00) Unrealized gain (loss) on security movements 0.00 Return of capital 0.00 Change in fair value for the period 75,762.00 Ending fair value 65,029,577.00 Detail of Fair Value Basis Return earned Change in fair value Total income Government Agencies 35,564.18 55,368.00 90,932.18 Government Bonds 12,503.22 20,394.00 32,897.22 Total 48,067.40 75,762.00 123,829.40 4 Comparative Rates of Return (%) * Twelve month trailing * Six month trailing * One month Fed Funds 0.20 0.13 0.03 Overnight Repo 0.25 0.17 0.04 Merrill Lynch 3m US Treas Bill 0.12 0.10 0.05 Merrill Lynch 6m US Treas Bill 0.39 0.22 0.09 ML 1 Year US Treasury Note 0.40 0.19 0.14 ML US Treasury 1-3 0.92 0.46 0.17 ML US Treasury 1-5 1.62 0.89 0.23 Summary of Fair Value Basis Return for the Period Total portfolio earned 48,067.40 Change in fair value 75,762.00 Total income on portfolio 123,829.40 Average daily total value * 65,033,644.85 Period return (%) 0.19 YTD return (%) 0.80 Weighted average final maturity in days 594 * rates reflected are cumulative * Total value equals market value and accrued interest
RECAP OF SECURITIES HELD Historical Amortized Fair value Unrealized gain (loss) Weighted average final maturity (days) Percent of portfolio Weighted average effective duration (years) Government Agencies 44,026,570.00 44,018,628.52 44,023,168.00 4,539.48 650 67.76 1.07 Government Bonds 20,949,609.38 20,967,749.18 21,006,409.00 38,659.82 477 32.24 1.29 Total 64,976,179.38 64,986,377.70 65,029,577.00 43,199.30 594 100.00 1.14 5 Portfolio diversification (%) Government Agencies 67.76 Government Bonds 32.24
MATURITY DISTRIBUTION OF SECURITIES HELD Maturity Historic Percent Under 90 days 12,000,000.00 18.47 90 to 179 days 180 days to 1 year 5,995,410.63 9.23 1 to 2 years 40,982,928.75 63.07 2 to 3 years 5,997,840.00 9.23 3 to 4 years 4 to 5 years Over 5 years 64,976,179.38 100.00 6 Maturity distribution
SECURITIES HELD Cusip/ Description Government Agencies Coupon Maturity/ Call date Par value or shares Historical / Accrued interest purchased Amortized / Accretion (amortization) Fair value/ Change in fair value Unrealized gain (loss) received earned Total accrued interest % Port 3134G55R2 0.650 02/21/2017 2,000,000.00 2,002,520.00 2,001,509.18 FREDDIE MAC 0.65% 21/02/2017 0.00 (141.04) 2,001,240.00 1,380.00 (269.18) 0.00 1,155.55 1,444.44 3.08 3133ECAL8 0.730 06/19/2017 3,000,000.00 3,000,000.00 3,000,000.00 FEDERAL FARM CREDIT BANK 0.73% 19/06/2017 (CALLABLE 12/04/16) 3,000,180.00 30.00 18 1,946.67 6,205.00 3134G7MJ7 0.750 08/25/2017 3,000,000.00 3,000,690.00 3,000,483.96 FREDDIE MAC 0.75% 25/08/2017 0.00 (28.75) 3,003,060.00 2,490.00 2,576.04 0.00 2,000.00 2,250.00 3134G44N5 0.750 11/28/2017 3,000,000.00 3,000,000.00 3,000,000.00 FREDDIE MAC 0.75% 28/11/2017 CALLABLE 3133EC7A6 0.820 12/12/2017 5,000,000.00 5,000,000.00 5,000,000.00 FEDERAL FARM CREDIT BANK 0.82% 12/12/2017 (CALLABLE 12/04/16) 2,997,600.00 3,240.00 4,996,550.00 6,000.00 (2,400.00) 0.00 2,000.00 7,687.50 (3,450.00) 0.00 3,644.45 12,413.89 7.70 7 3135G0SW4 0.875 12/27/2017 3,000,000.00 3,000,000.00 3,000,000.00 FANNIE MAE 0.875% 27/12/2017 (CALLABLE 27/06/16) 06/27/2016 2,999,010.00 3,300.00 (990.00) 0.00 2,333.34 6,854.17 3130A3YY4 1.000 01/26/2018 3,000,000.00 3,009,360.00 3,007,049.55 FEDERAL HOME LOAN BANK 1% 26/01/2018 #0001 0.00 (322.39) 3,010,950.00 4,530.00 3,900.45 0.00 2,666.67 5,416.67 4.63 3135G0TV5 1.030 01/30/2018 3,000,000.00 3,000,000.00 3,000,000.00 FANNIE MAE 1.03% 30/01/2018 (CALLABLE 30/04/16) 04/30/2016 3,000,240.00 30.00 24 2,660.83 5,150.00 3133ECHS6 1.030 03/12/2018 5,000,000.00 5,000,000.00 5,000,000.00 FEDERAL FARM CREDIT BANK 1.03% 12/03/2018 (CALLABLE 12/04/16) 4,996,850.00 13,200.00 (3,150.00) 25,750.00 4,577.78 2,718.06 7.70
SECURITIES HELD Cusip/ Description Government Agencies Coupon Maturity/ Call date Par value or shares Historical / Accrued interest purchased Amortized / Accretion (amortization) Fair value/ Change in fair value Unrealized gain (loss) received earned Total accrued interest % Port 3136G1G52 1.250 03/13/2018 2,000,000.00 2,016,160.00 2,011,137.73 FANNIE MAE 1.25% 13/03/2018 CALLABLE #0000 0.00 (475.29) 2,015,100.00 2,520.00 3,962.27 12,500.00 2,222.22 1,250.00 3.10 313382JJ3 1.040 04/02/2018 3,000,000.00 3,000,000.00 3,000,000.00 FEDERAL HOME LOAN BANK 1.04% 02/04/2018 (CALLABLE 12/04/16) 3,000,018.00 11,508.00 18.00 0.00 2,773.33 15,513.33 3136G1KD0 1.000 04/30/2018 3,000,000.00 3,000,000.00 3,000,000.00 FANNIE MAE 1% 30/04/2018 (CALLABLE 30/04/16) #0001 04/30/2016 2,999,790.00 2,790.00 (210.00) 0.00 2,583.33 12,500.00 3136G1KV0 0.875 05/15/2018 3,000,000.00 3,000,000.00 3,000,000.00 FANNIE MAE 0.875% 15/05/2018 (CALLABLE 15/05/16) 05/15/2016 3,000,180.00 270.00 18 2,333.34 9,916.67 8 3130A5BK4 1.000 06/29/2018 3,000,000.00 2,997,840.00 2,998,448.10 FEDERAL HOME LOAN BANK 1% 29/06/2018 #0000 0.00 57.55 3,002,400.00 4,080.00 3,951.90 0.00 2,666.67 7,666.67 4.61 Total Government Agencies 44,000,000.00 44,026,570.00 44,018,628.52 44,023,168.00 4,539.48 38,250.00 35,564.18 Government Bonds 0.00 (909.92) 55,368.00 96,986.40 67.76 912828G46 0.500 11/30/2016 2,000,000.00 1,997,578.13 1,999,108.69 USA TREASURY 0.5% 30/11/2016 0.00 113.24 1,999,922.00 2,032.00 813.31 0.00 846.99 3,333.33 3.07 912828H78 0.500 01/31/2017 2,000,000.00 1,995,312.50 1,998,021.55 USA TREASURY 0.5% 31/01/2017 0.00 200.43 1,998,516.00 1,798.00 494.45 0.00 851.65 1,648.35 3.07 912828SM3 1.000 03/31/2017 3,000,000.00 3,026,250.00 3,012,189.89 USA TREASURY 1% 31/03/2017 0.00 (1,035.30) 3,011,016.00 2,109.00 (1,173.89) 15,000.00 2,540.98 0.00 4.66
SECURITIES HELD Cusip/ Description Government Bonds Coupon Maturity/ Call date Par value or shares Historical / Accrued interest purchased Amortized / Accretion (amortization) Fair value/ Change in fair value Unrealized gain (loss) received earned Total accrued interest % Port 912828SY7 0.625 05/31/2017 1,000,000.00 1,000,625.00 1,000,345.33 USA TREASURY 0.625% 31/05/2017 0.00 (25.13) 999,414.00 898.00 (931.33) 0.00 529.37 2,083.33 1.54 912828TB6 0.750 06/30/2017 2,000,000.00 1,998,750.00 1,999,334.89 USA TREASURY 0.75% 30/06/2017 0.00 45.22 2,001,876.00 1,720.00 2,541.11 0.00 1,277.47 3,750.00 3.08 912828TM2 0.625 08/31/2017 3,000,000.00 2,989,687.50 2,994,311.10 USA TREASURY 0.625% 31/08/2017 0.00 340.45 2,996,367.00 2,931.00 2,055.90 0.00 1,579.48 1,579.48 4.60 912828TS9 0.625 09/30/2017 2,000,000.00 1,986,875.00 1,992,420.97 USA TREASURY 0.625% 30/09/2017 0.00 428.74 1,997,422.00 2,266.00 5,001.03 6,250.00 1,058.74 0.00 3.06 912828TW0 0.750 10/31/2017 2,000,000.00 1,990,468.75 1,994,470.35 USA TREASURY 0.75% 31/10/2017 0.00 296.06 2,000,704.00 1,954.00 6,233.65 0.00 1,277.48 6,263.74 3.06 9 912828UE8 0.750 12/31/2017 2,000,000.00 1,983,906.25 1,990,236.97 USA TREASURY 0.75% 31/12/2017 0.00 472.90 2,000,704.00 2,500.00 10,467.03 0.00 1,277.47 3,750.00 3.05 912828UR9 0.750 02/28/2018 2,000,000.00 1,980,156.25 1,987,309.44 USA TREASURY 0.75% 28/02/2018 0.00 562.81 2,000,468.00 2,186.00 13,158.56 0.00 1,263.59 1,263.59 3.05 Total Government Bonds 21,000,000.00 20,949,609.38 20,967,749.18 21,006,409.00 38,659.82 21,250.00 12,503.22 0.00 1,399.42 20,394.00 23,671.82 32.24 Grand total 65,000,000.00 64,976,179.38 64,986,377.70 65,029,577.00 43,199.30 59,500.00 48,067.40 120,658.22 100.00 0.00 489.50 75,762.00