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HomeMy WebLinkAboutInvestment Report for quarter ended March 31, 2012 (Finance)ATTACHMENT 1 BACKGROUND California Government Code Section 53646 requires the City Treasurer or the Chief Financial Officer to submit to the City Council a quarterly report of the City's investment portfolio consisting of the following information: ➢ Type of investment or description, ➢ Issuers (bank or institution), ➢ Dollar amount, ➢ Interest rate, ➢ Current market valuation as of the date of the report, ➢ And the date of maturity. In addition, the code requires that the report states the City's compliance with it's investment policy and include a statement on the City's ability to meet it's pool's expenditure requirements. OVERVIEW OF CITY INVESTMENTS The City's pooled investment portfolio as of the quarter ended March 31, 2012 is summarized below and compared to the quarter ended March 31, 2011. QUART-ER-En0ED O1= — 3/31/2012 3/31/2011 Par Value 49,747,221.22 47,508,709.52 Book Value (1) 50,427,872.58 47,508,459.52 Market Value (2) 50,461,213.27 47,520,627.06 (1) The book value is the actual cost of investments. (2) The market value is the amount at which the investments could be sold. The City of National City has 43.19% of the total portfolio invested in the California Treasurer's Local Agency Investment Fund (LAIF). This is a liquid investment pool, which allows participants to earn market rate returns of large investments, while retaining access to funds within 24 hours of a withdrawal request. For the month ended March 31, 2012, LAIF's monthly average effective yield was 0.383%. The summary of the City's investment portfolio is illustrated in the following chart. SUMMARY OF INVESTMENT PORTFOLIO As of March 31, 2012 INVESTMENTS HELD BY THE CITY Investment Type LAIF Federal Agency Securities US Treasury SD County Treasurer's Pooled Money Fund CDARS Program Money Market Totals for March 2012 Totals for March 2011 Portfolio increase from same quarter last year YTM % of Book Value Market Value 365 Equiv. Portfolio 21,781,791.57 17,208,169.14 4,422,482.22 5,000,000.00 2,000,000.00 15,429.65 21,808,171.78 17,224,819.77 4,412,792.07 5,025,000.00 2,000,000.00 15,429.65 0.383% 43.19% N/A 34.12% 0.350% 8.77% N/A 9.92% 0.800% 3.97% 0.03% 50,427,872.58 50,486,213.27 100.00% 47,508,459.52 2,919,413.06 SD County CDARS Program Money Fund 9.92% US Treasury 8.77% Federal Agency Securities 34.13% City of National City Finance Department On November 15th 2011, City Council approved the Investment Management Services Committee's recommendation to select Chandler Asset Management Inc., to provide investment management and investment advisory services to the City of National City and to assist in selecting long-term investments for its bond proceeds and other investable funds pursuant to the City's Investment Policy. On February 14th 2012, the City transfer $20 million to Chandler Asset Management; as of March 31, 2012, the average coupon was 2.60%; of the total investment portfolio, 77.8% is invested in Federal Agency Securities and 22.2% is invested in US Treasuries. The City has an investment of $5 million with the San Diego County Treasurer's Pooled Money Fund; this fund is managed by San Diego County Treasurer's investment staff on behalf of the county, school districts and agencies. The objective is to safeguard principal, maintain liquidity and to achieve a market investment return, this investment accounts for 9.92% of the City's investment portfolio. The City has $2 million investment in the CDARS program with Neighborhood National Bank. The current investment yield is 0.80% and accounts for 3.97% of the portfolio. The pooled investment portfolio has the ability to meet the City's financial needs. CUSIP LAIF 98-37-576 City of Nafiipnal City Portfolio Management Portfolio Details1- Investments March 31, 2012 Page 2 Average Purchase Stated YTM/C Days to Maturity Investment# Issuer Balance Date Par Value Market Value Book Value Rate S&P 365 Maturity Date 11058 Local Agency Investment Fund Subtotal and Average 25,007,598.02 21,781,791.57 21,808,171.78 21,781,791.57 0,382 21,781,791.57 21,808,171.78 21,781,791.57 0.382 1 0.382 1 Federal Agency Securities i 3128X8N57 11342 Federal Home Loan Mrtgage Corp 06/18/2009 2' 0,000.00 241 425.60 240,000.00 3.000 AAA 3.000 78 06/18/2014 3136FPA83 11362 Federal Natl. Mortgage Assoc. 08/18/2010 500,000.00 519,470.00 500,000.00 2.000 AAA 2.000 1,234 08/18/2015 3136F82A2 11266 Fannie Mae 02/12/2008 250,000.00 258,147.50 250,000.00 4.000 AAA 4.000 317 02/12/2013 3136F82A2 C 11267 Fannie Mae 02/12/2008 '5P0,000.00 516,230.00 500,000.00 4.000 AAA 4.000 317 02/12/2013 3136F9CB7 11274 Fannie Mae 03/11/2008 250,000.00 258,850.00 250,000.00 4.000 AAA 4.000 344 03/11/2013 Subtotal and Average 2,054,516.13 1;740,000.00 1,794,123.10 1,740,000.00 3.287 551 CDARS SYS11386 11386 Neighborhood National Bank 03/08/2012 2,000,000.00 2,000,000.00 2,000,000.00 0.800 0.800 340 03/07/2013 Subtotal and Average 3,548,387.10 2,000,000.00 2,000,000.00 2,000,000.00 0.800 340 Total and Average 30,610,501.25 Run Date: 05/22/2012 - 08:40 25,521,791.57 25,602,294.88 25,521,791.57 0.613 65 Portfolio CNC CC PM (PRF PM2) SyrnRept 5.41.202b CA% CHANDLER ASSET MANAGEMENT Monthly Account Statement City of National City March 1, 2012 through March 31, 2012 Chandler Team For questions about your account, please call (800) 317-4747 or Email operations@chandlerasset.com Custodian Bank of New York Corporate Trust Amy Kung 213-630-6374 Information contained herein is confidential. We urge you to compare this statement to the one you receive from your qualified custodian. Prices are provided by IDC, an independent pricing source. At City of National City Account #10162 Portifolio Summary As of 3/31/2012 PORTFOLIO CHARACTERISTICS Average Duration Average Coupon Average Purchase YTM Average Market YTM Average S&P/Moody Rating Average Final Maturity Average Life 1.69 2.60 % 0.36 % 0.40 % AA+/Aaa 1.75 yrs 1.75 yrs SECTOR ALLOCATION Agency (77.7 %) Money Market Fund FI (0.1 %) US Treasury (22.2 %) ACCOUNT SUMMARY,;, 0 35% 30% 25% 20% 15% 10% 5% 19,915,972 90,032 20,006,005 4,325 19,351,401 19,914,293 19,914,293 TOP ISSUERS;,;. 19,858,918 137,055 MATURITY DISTRIBUTION; 20.8 % 6.0 % 4.5 % 134.6 % 15.9 % 11.7 % 19,995,973 38,949 -138 19,225,430 19,906,081 19,906,081 6.5 % 0-.25 .25-.5 .6-1 1-2 2-3 3-4 4-5 5+ Maturity (Yrs) Issuer % Portfolio Federal Home Loan Bank 23.6 % Government of United States •22.2 % Federal National Mortgage Assoc 21.9 % Federal Home Loan Mortgage Corp 20.8 % Federal Farm Credit Bank 11.5 % Federated Govt Obligation Money 0.1 % 100.0 CREDIT QUALITY(S&P) AA (99.9 %) �..., AAA (0.1 %) Chandler Asset Management - CONFIDENTIAL Page 1 Execution Time: 4/3/2012 12:36:27 PM City of National City Account#10162 Holdings Report A of 3/31/12 CUSIP Security Description;, Purchase Date Cost Value Mkt Price Market Value %of Port. Moody Term (yrs) Par ValuelU its Book Yield . _:. Book Value ; Mkt YTM ; Accrued Int, GainlLoss. S&P ,,Duration.; AGENCY 31398AWK4 FNMA Note 1.875% Due 4/20/2012 390,000.00 03/08/2012 0.11 % 390,785.07 100.09 390,785.07 0.24 % 390,336.18 3,270.31 (448.89) AA+ 0.05 1.97 Aaa 0.05 3133MNW0 FHLB Note 5.75% Due 5/15/2012 390,000.00 03/08/2012 0.12 % 394,024.80 394,024.80 100.67 392,511.44 0.26 % 8,471.67 2.01 % Aaa 0.12 (1,413.36) AA+ 0.12 3133XTS49 FHLB Note 1.875% Due 6/20/2012 395,000.00 03/06/2012 0.13 % 396,967.10 396,967.10 100.37 396,475.33 0.17 % 2,077.86 1.99 % Aaa 0.22 (491.77) AA+ 0.22 3137EAAV1 FHLMC Note 5.5% Due 8/20/2012 485,000.00 03/06/2012 0.15 % 496,732.15 102.05 496,732.15 0.19 % 494,939.11 2.49 % Aaa 0.39 3,037.99 (1,793.04) AA+ 0.39 31359MPF4 FNMA Note 4.375% Due 9/15/2012 385,000.00 03/06/2012 0.16 % 393,477.32 101.91 392,349.65 393,477.32 0.18 748.61 1.97 % Aaa 0.46 (1,127.67) AA+ 0.46 3133MTZL5 FHLB Note 4.5% Due 11/15/2012 570,000.00 02/28/2012 587,476.20 102.61 584,891.25 2.97 % Aaa 0.63 0.18 °A 587,476.20 0.29 % 9,690.00 (2,584.95) AA+ 0.61 3137EACG2 FHLMC Note 590,000.00 02/27/2012 1.375% Due 1/9/2013 0.18 596,064.61 596,064.61 100.89 595,264.57 0.22 % 1,847.85 2.99 % Aaa 0.78 (800.04) AA+ 0.77 3133XW7L7 FHLB Note 590,000.00 02/29/2012 1.5% Due 1/16/2013 0.20 % 596,684.70 101.00 596,684.70 0.24 % 595,874.04 2.99 % Aaa 0.80 1,843.75 (810.66) AA+ 0.79 31331KCP3 FFCB Note 0.9% Due 2/22/2013 490,000.00 02/24/2012 493,361.40 100.60 492,921.87 2.47 % Aaa 0.90 0.20 % 493,361.40 0.23 % 477.75 (439.53) AA+ 0.89 31331GPN3 FFCB Note 2.6% Due 3/4/2013 325,000.00 03/07/2012 332,635.88 102.18 332,087.28 1.66 % Aaa 0.93 0.22 % 332,635.88 0.24 % 633.75 (548.60) AA+ 0.92 31398AMW9 FNMA Note 3.25% Due 4/9/2013 575,000.00 02/27/2012 594,371.18 103.13 592,998.65 3.01 % Aaa 1.02 0.22 % 594,371.18 0.18 % 8,928.47 (1,372.53) AA+ 1.00 31398AJ94 FNMA Note 1.75% Due 5/7/2013 580,000.00 02/24/2012 590,420.86 101.58 589,136.16 2.97 % Aaa 1.10 0.24 % 590,420.86 0.31 % 4,060.00 (1,284.70) AA+ 1.09 31331KU40 FFCB Note 0.29% Due 5/16/2013 490,000.00 02/24/2012 490,164.15 100.01 490,035.28 2.45 % Aaa 1.13 0.26 % 490,164.15 0.28 % 532.88 (128.87) AA+ 1.12 3133XXYX9 FHLB Note 1.875% Due 6/21/2013 585,000.00 02/27/2012 597,343.50 101.95 596,384.10 3.00 % Aaa 1.22 0.27 % 597,343.50 0.28 % 3,046.88 (959.40) AA+ 1.21 31398AX31 FNMA Note 490,000.00 03/07/2012 496,872.25 101.24 496,092.66 1.25% Due 8/20/2013 0.28 % 496,872.25 0.35 % 697.57 3133X1BV8 FHLB Note 415,000.00 03/07/2012 441,480.32 106.05 4.5% Due 9/16/2013 0.30 % 441,480.32 0.34 % 3133XSAE8 FHLB Note 3.625% Due 10/18/2013 3134A4UK8 FHLMC Note 4.875% Due 11/15/2013 2.48 % Aaa 1.39 (779.59) AA+ 1.37 440,088.83 2.20 % Aaa 1.46 778.13 (1,391.49) AA+ 1.42 560,000.00 02/21/2012 590,312.81 105.01 588,068.88 2.99 % Aaa 1.55 0.34 % 590,312.81 0.37 % ' 9,191.39 (2,243.93) AA+ 1.49 460,000.00 02/24/2012 495,671.16 107.39 493,986.64 0.34 % 495,671.16 0.31 % 8,471.67 2.51 % Aaa 1.63 (1,684.52) AA+ 1.55 31331RP90 FFCB Note 5.45% Due 12/11/2013 31398AVZ2 FNMA Note 2.75% Due 3/13/2014 545,000.00 02/28/2012 593,701.20 108.35 590,518.40 3.00 % Aaa 1.70 0.42 % 593,701.20 0.49 % 9,075.76 (3,182.80) AA+ 1.62 470,000.00 02/24/2012 ! 492,683.61 104.77 492,411.95 2.47 % Aaa 1.95 0.38 % 492,683.61 0.30 % 646.25 (271.66) AA+ 1.91 Chandler Asset Management - CONFIDENTIAL POge 2 Execution Time: 4/3/2012 12:36:27 PM City of National City Account#10162 Holdings Report As of 3/31/12 CUSIP Security: Degt(ptionj;�: Purchase Date Cost Value Par ValuelUmts , „ ,Book Ylkld j., , Book Value Mkt Price Mkt(YTM,. Market Value % of PortMoody Term (yrs).. : 4 rpe4Int, -, 9a94oss, AGENCY 3137EACB3 FHLMC Note 2.5% Due 4/23/2014 475,000.00 02/21/2012 496,260.53 0.42 % 496,260.53 104.31 0.40 % 495,472.03 5,211.81 2.50 °/% (788.50) Aaa AA+ 2.06 2.00 3133X7FK5 FHLB Note 5.25% Due 6/18/2014 3137EACD9 FHLMC Note 3% Due 7/28/2014 530,000.00 02/21/2012 589,291.10 0.40 %, 589,291.10 470,000.00 02/24/2012 498,859.88 0.45 % 498,859.88 110.57 0.45 % 106.22 0.31 586,033.72 2.97 % 7,961.04 (3,257.38) 499,247.16 2,467.50 2.51 % 387.28 Aaa AA+ Aaa AA+ 2.22 2.09 2 33 2.25 31398AZV7 FNMA Note 2.625% Due 11/20/2014 3137EACHO FHLMC Note 2.875% Due 2/9/2015 470,000.00 02/21/2012 496,614.22 0.54 °/u, 496,614.22 560,000.00 02/24/2012 598,380.16 0.53 % 598,380.16 105.47 0.53% 106.48 0.58 °/ 495,697.72 4,489.48 596,307.04 2.50 % (916.50) 2.99 % 2,325.56 (2,073.12) Aaa AA+ Aaa AA+ 2.64 2.54 2.86 2.75 31398AU34 FNMA Note 2.375% Due 7/28/2015 470,000.00 02/24/2012 497,406.17 0.65 % 497,406.17 105.43 0.72 % 495,526.64 2.49 % 1,953.44 (1,879.53) Aaa AA+ 3.33 3.20 3137EACM9 FHLMC Note 1.75% Due 9/10/2015 31331J2S1 FFCB Note 1.5% Due 11/16/2015 535,000.00 02/24/2012 555,169.50 0.67 % 555,169.50 375,000.00 02/27/2012 386,490.75 0.66 %! 386,490.75 103.32 0.77 % 102.68 0.75 % 552,761.47 2.77 % 546.15 (2,408.03) 385,054.50 1.94 % 2,109.38 (1,436.25) Aaa AA+ Aaa AA+ 3.45 3.34 3.63 3.51 3135G0BA0 FNMA Note 2.375% Due 4/11/2016 3137EACT4 FHLMC Note 2.5% Due 5/27/2016 375,000.00 02/24/2012 397,993.13 0.86 % 397,993.13 375,000.00 03/20/2012 1.14 % 395,804.63 395,804.63 105.61 0.95 % 106.22 0.97 % 396,045.38 2.00 4,205.73 (1,947.75) 398,307.38 3,229.17 2.01 % 2,502,75 Aaa AA+ Aaa AA+ 4.03 3.81 4.16 3.93 313371PV2 FHLB Note 1.625% Due 12/9/2016 480,000.00 02/29/2012 494,668.80 0.97 % 494,668.80 102.66 1.04 492,771.36 2.48 % 2,426.67 (1,897.44) Aaa AA+ 4.70 4,49 Total Agency 14,895,000.00 15,468,169.14 0.38 % 15,468,169.14 0.41 % 15,430,696.67 77.74 % 114,454.47 (37,472.47) Aaa AA+ 1.76 1.70 MO tWiail gir t5NDh'FI'1f''" 60934N807 Federated Govt Oblig Fund Inst. 15,429.65 Various 0.01 % 15,429.65 15,429.65 1.00 0.01 % 15,429.65 0.00 0.08 % 0.00 Aaa AAA 0.00 0,00 Total Money Market Fund FI 15,429.65 0.01 %! 15,429.65 15,429.65 0.01 % 15,429.65 0.00 0.08 % 0.00 Aaa AAA 0.00 0.00 US'TREAS°U"RY7`° h 912828LR9 US Treasury Note 1.375% Due 10/15/2012 540,000.00 03/06/2012 544,009.62 0.15 % 544,009.62 100.65 0.18 % 543,501.36 3,428.48 2.74 % (508.26) Aaa AA+ 0.54 0.54 912828MB3 US Treasury Note 1,125% Due 12/15/2012 495,000.00 03/06/2012 498,617.48 0.18 %! 498,617.48 100.65 0.20 % 498,228.89 1,643.24 2.50 (388.59) Aaa AA+ 0.71 0.70 912828HQ6 US Treasury Note 2.875% Due 1/31/2013 485,000.00 02/27/2012 497,012.95 0.19 %, 497,012.95 102.21 0.23 % 495,703.95 2.49 % 2,336.73 (1,309.00) Aaa AA+ 0.84 0.83 912828HY9 US Treasury Note 3.125% Due 4/30/2013 480,000.00 02/24/2012 496,351.61 0.22 4 496,351.61 103.10 0.25 494,887.68 6,304.95 2.51 % (1,463.93) Aaa AA+ 1.08 1.06 Chandler Asset Management - CONFIDENTIAL Page 3 Execution Time: 4/3/2012 12:36:27 PM City of National City Account#10162 Holdings Report As of 3/31/12 CUSIP Security Description Purchase Date Cost Value Par Value!U its Book Yield Book Value Mkt Price Market Value % of Port. Moody Term (yrs) Mkt YTM Accrued Int. Gain/Loss S&P Duration US TREASURY 912828PU8 US Treasury Note 0.5% Due 11/15/2013 490,000.00 02/21/2012 491,705.16 100.30 0.30% 491,705.16 0.31 % 491,473.92 2.46 % Aaa 1.63 928.85 (231.24) AA+ 1.61 912828PZ7 US Treasury Note 1.25% Due 3/15/2014 500,000.00 02/21/2012 509,493.86 0.32 % 1 509,493.86 101.75 508,750.00 0.35 % 288.72 2.55 % Aaa 1.96 (743.86) AA+ 1.93 912828LK4 US Treasury Note 2.375% Due 8/31/2014 470,000.00 02/24/2012 493,244.54 0.39 % 493,244.54 104.63 491,774.16 2.46 % Aaa 2.42 0.44 % 970.65 (1,470.38) AA+ 2.35 912828MZ0 US Treasury Note 2.5% Due 4/30/2015 420,000.00 02/24/2012 446,612.34 105.91 444,806.04 2.25 % Aaa 3.08 0.49 % 446,612.34 0.56 % 4,413.46 (1,806.30) AA+ 2.95 912828PE4 US Treasury Note 1.25% Due 10/31/2015 435,000.00 02/24/2012 445,434.66 101.99 443,666.07 2.23 % Aaa 3.59 0.59 % 445,434.66 0.69 % 2,285.54 (1,768.59) AA+ 3.49 Total US Treasury 4,315,000.00 0.31 % 4,422,482.22 4,422,482.22 0.35 % 4,412,792.07 22.18 % Aaa 1.71 22,600.62 (9,690.15) AA+ 1.67 TOTAL PORTFOLIO TOTAL MARKET VALUE PLUS ACCRUED 19,225,429.65 0.36 % 119,906,081.01 19,906,081.01 0.40 % 19,858,918.39 100.00 % Aaa 1.75 137,055.09 (47,162.62) AA+ 1.69 19,995,973.48 Chandler Asset Management - CONFIDENTIAL Page 4 Execution Time: 4/3/2012 12:36:27 PM Participant Cash Balances San Diego Pooledoney Fund as of April 30, 2012 ($000), FMV FMV FMV %of PARTICIPANT 02/29/12 03/31/12 04/30/12 Total PARTICIPANT OUNTY $ 612,945 $1,034,709 $1,102,752 15.66% Metropolitan Transit System OUNTY - SPECIAL TRUST FUNDS 1,496,633 1,387,872 1,745,076 24.78% Majestic Pines CSD ON -COUNTY INVESTMENT FUNDS 361,951 366,591 378,968 5.38% Ml5sion Res Consr CHOOLS - (K THRU 12) 2,504,816 2,288,200 2,468,984 35.06% North County Cemetery Dist North County Cemetry Perpetual OMMUNITY COLLEGES Nerth County Cemetery an Diego 482,294 442,075 444,019 6.31% North County Dispatch rossmont 41,873 30,826 53,207 0.75% North County Fire lira Costa 29,239 22,865 37,171 0.53% Otay Water District Inv alomar 242,111 230,256 235,282 3.34% Palomar Res Consr outhwestern 110,447 107,744 126,727 1.80% Pine Valley FPD Total Community Colleges 905,963 833,766 896,405 12.73% Pomerado Cem Perpetual Pomerado Cemetery Dist DCERA 439 3,591 3,493 Ramona Cemetery Dist ANCAL 40,506 39,039 39,084 Ramona Cemetery Perpetual ITDB 699 700 701 Rancho Santa Fe FPD ANDAG 52,313 52,059 52,020 San Diego Housing Commission San Diego Rural Fire :ITIES San Dieguito River :hula Vista 20,134 20,172 20,153 San Marcos FPD )el Mar 3,020 3,026 3,024 San Miguel FPD incinitas 2 2 2 Sian Ysidro Sanitation lational City 0 5,025 5,017 Santa Fe Irrigation District SDC Regional Airport Authority So' County OPS Ctr S,pring Valley/Casa de Oro Upper San Luis Rey Reservoir Vallecitos Water Dist Valley Center FPD Valley Cntr Cemetery Valley Ctr Cem Perpetual Valley Ctr Water District Vista FPD NDEPENDENT AGENCIES 'pine FPD Sonita Sunnyside FPD Sorrego Springs FPD >eer Springs FPD Iailbrook Public Utl 'ublic Agency Self Insurance Sys ulian-Cuyamaca FPD .ake Cuyamaca Rec & Park .akeside Fire .eucadia Water District .ower Sweetwater FPD 1,138 3,778 1,324 7,380 14 447 243 480 7,416 11,324 312 1,097 3,849 1,247 6,776 14 448 34 470 6,899 11,346 292 1,384 4,449 1,427 6,494 14 447 91 449 8,244 11,337 358 Total Independent Agencies FMV FMV FMV %of 02/29/12 03/31/12 04/30/12 Total 705 730 706 18 19 27 431 377 383 1,463 1,480 1,505 1,704 1,714 1,723 961 931 1,042 3,555 3,357 3,396 2,592 2,255 4,332 22,157 22,199 22,181 7 7 7 319 325 376 1,650 1,656 1,664 1,210 1,202 1,322 600 610 643 332 335 335 9,152 8,575 10,578 22,383 22,425 22,407 0 1 6 -537 -646 -440 1 1 1 3,610 3,712 3,755 13 13 13 4,007 4,015 4,012 245,123 212,517 193,729 0 0 0 1,063 1,066 1,066 236 237 238 5,064 5,073 5,069 4,105 4,137 4,293 177 178 176 214 216 215 4,126 4,134 4,131 2,814 2,819 2,570 490,224 461,756 449,648 6.39% Fl,00led Money Fund Total $6,372,532 $6,372,894 $7,041,833 100.00% COUNTY OF SAN DIEGO TREASURER - TAX COLLECTOR