Report Office of the CFO Summary Treasurer's Monthly Report The attached Treasurer s monthly report provides Metropolitan s investments, as well as portfolio compliance with Metropolitan s Statement of Investment Policy and investment programs. Purpose Administrative Code Requirement Section 5114 Attachments Attachment 1: Portfolio Performance Report January 2018 Attachment 2: Portfolio Summary Report January 2018 Attachment 3: Summary Report of Investment & Cash Activity January 2018 Attachment 4: Duration Report January 2018 Date of Report: 2/12/2018
Attachment 1 The Metropolitan Water District of Southern California (MWD) Portfolio Performance Report Annualized Return Market Value Duration Monthly Return Fiscal YTD Return *Inception-to-Date ($ in Thousands) MWD Benchmark MWD Benchmark MWD Benchmark MWD Benchmark Short-Term (1) $ 542,075 0.22 0.23 0.09% 0.12% 0.65% 0.67% 1.86% 1.30% Long-Term (2) 344,330 2.71 2.63 (0.53%) (0.53%) (0.18%) (0.47%) 3.36% 2.91% Total Core Funds $ 886,405 Other Funds (3) 40,942 4.25 (0.66%) (0.31%) 7.07% Total $ 927,347 (1) The Short-Term Portfolio Benchmark is the Bank of America Merrill Lynch, Three Month Treasury Bill Index. (2) The Long-Term Portfolio Benchmark is the Bank of America Merrill Lynch, Corporate and Government, 1 to 5 years, A Rated and Higher Index. (3) Debt Service Reserve Funds and Lake Mathews Trust. * Inception Date 5/01/2002 C:\DEBT\MONTHLY REPORT\2018 Mo End Reports\01-2018 Mo End Reports\MonthlyLetterAttach1 Jan2018
Attachment 2 Portfolio Summary Report ($ in Thousands) Percent of Investment Credit Market Book Portfolio Policy Securities Quality Value Value Market Value Limits United States Treasuries (1,2) "AAA" $ 263,369 $ 264,522 28.40% 100% Gov't National Mtge Assoc. (1) "AAA" 3 3 0.00% 100% Federal Agencies (2) "AAA" 51,175 51,680 5.52% 100% Repurchase Agreements (3) "AAA" - - 0.00% 50% Bankers' Acceptances "F1 or higher" - - 0.00% 40% Commercial Paper "A1/P1 or higher" 175,596 175,606 18.94% 25% Negotiable Certificates of Deposit "F1 or higher" 140,722 140,709 15.17% 30% Time Deposits "F1 or better" - - 0.00% N/A Shares of Beneficial Interest "AAA" 879 879 0.10% 20% California Local Agency Investment Fund (4) 55,467 55,467 5.98% N/A Medium Term Notes "A or higher" 156,929 157,943 16.92% 30% Asset & Mortgage-Backed Securities "AAA" 61,207 61,977 6.60% 20% Municipals (5) "A or higher" 22,000 20,347 2.37% 30% Total Portfolio $ 927,347 $ 929,133 100.00% (1) Securities have an explicit United States Government guarantee. (2) United States Treasuries and Federal Agencies are rated 'AAA' by two nationally recognized rating agencies and 'AA+' by one nationally recognized rating agency. (3) Repurchase agreements can only be executed with primary dealers and collateral consists of Treasuries and/or Federal Agencies with maturities under 5 years. (4) $65 million maximum allowed by California Local Agency Investment Fund. (5) $7.524 million (market value) of the municipal bond portfolio was rated AAA. C:\DEBT\MONTHLY REPORT\2018 Mo End Reports\01-2018 Mo End Reports\PortfolioSummaryAttach2 Jan2018
Attachment 3 Summary Report of Investment & Cash Activity (Shown at Book Value and $ in Thousands) Beginning Ending Balance Purchases Sales Maturities Balance United States Treasuries $ 311,091 $ 32,729 $ 5,818 $ 73,480 $ 264,522 Gov't National Mtge Assoc. 3 - - - 3 Federal Agencies 66,991 10,005 5 25,311 51,680 Repurchase Agreements - - - - - Bankers' Acceptances - - - - - Commercial Paper 168,716 393,868-386,978 175,606 Negotiable Certificates 222,386 11,848-93,525 140,709 of Deposit Time Deposits - - - - - Shares of Beneficial 845 8,182 8,148-879 Interest California Local Agency 51,133 8,779 4,445-55,467 Investment Fund Medium Term Notes 160,106 107,162 15,013 94,312 157,943 Asset & Mortgage-Backed 58,669 7,666 4,358-61,977 Securities Municipals 20,328 19 - - 20,347 Subtotals $ 1,060,268 $ 580,258 $ 37,787 $ 673,606 $ 929,133 Beginning Ending Cash Balance Deposits Withdrawals Balance Demand Accounts $ 64 337 401 Petty Cash & Payroll 15 15 Overnight Investment (1) - 4,700 (4,700) Subtotals Total $ 79 $ 337 $ - $ 4,700 $ (4,284) $ 1,060,347 $ 580,595 $ 37,787 $ 678,306 $ 924,849 (1) Includes investment of outstanding checks. C:\DEBT\MONTHLY REPORT\2018 Mo End Reports\01-2018 Mo End Reports\EOM Attachment3 Jan2018
Attachment 4 Duration Report ($ in Thousands) Securities Available for Metropolitan's Self-Liquidity Program Market Value Duration (1) US Treasury Bills $ - - US Treasury Notes 216,879 2.265 US Treasury Strips 12,488 3.743 Federal Agency Coupons 44,864 1.475 Federal Agency Strips 2,541 6.309 Federal Agency Discount Notes - - Shares of Beneficial Interest 818 0.000 California Local Agency Investment Fund 51,632 0.000 Commercial Paper 162,797 0.070 Bankers' Acceptances - - Negotiable Certificates of Deposit 130,731 0.072 Medium Term Notes 144,024 1.382 Municipal Bonds 695 0.243 Municipal Discount Bonds 665 6.424 Gov't National Mtge Assoc. 3 4.044 Asset Backed - - Mortgage Backed 56,974 2.321 Total $ 825,111 Weighted Average Duration 1.184 (1) Duration is a measure of the sensitivity in the price of a bond to changes in interest rates, so it is a measure of risk in a fixed income portfolio. As a rule of thumb, a fixed income portfolio with a duration of 5 (years) will decline 5% in value for every 1% upward movement in comparable interest rates. C:\DEBT\MONTHLY REPORT\2018 Mo End Reports\01-2018 Mo End Reports\Attachment4 Duration Report Jan2018