HomeMy WebLinkAboutFin Investment Report 2011.11CITY OF
Agenda Item No: 3 f
Meeting Date: December 19, 2011
SAN RAFAEL CITY COUNCIL AGENDA REPORT
Department: FINANCE
Prepared by: Van Bach
Accounting Supervisor
City Manager Approval )`
SUBJECT: INVESTMENT REPORT FOR NOVEMBER 2011
RECOMMENDATION: ACCEPT INVESTMENT REPORT FOR THE MONTH ENDING
NOVEMBER 30, 2011, AS PRESENTED
BACKGROUND:
Pursuant to the State of California Government Code Section 53601, staff is required to provide the
governing body a report regarding the City's investment activities. Each month the Finance
Department prepares a report outlining the major investments for the preceding month. Included on
the report are the cost of each instrument, the interest rates (yield), maturity dates, and market value.
Separate schedules are prepared for both the City and Redevelopment Agency.
Beginning in January 2005, the City established a contract with MBIA to administer cash management
services to a portion of our portfolio. In February 2010, MBIA restructured its fixed-income asset
management subsidiary and changed their name to Cutwater Asset Management (Cutwater). Services
provided by Cutwater include updating our investment policy annually, cash flow administration, and
procurement of various instruments using Cutwater's market expertise (aligned with our needs). In
addition, Cutwater prepares a comprehensive monthly investment report that meets not only required
reporting information required by State law, but can be used as an asset management tool.
The November report contains information regarding the Cutwater managed operating funds, excluding
our West America checking account, which had a balance of $1,462,165 at month end. The Cutwater
reports provide a fair amount of detail. I am highlighting those pages that the community and Council
might find most useful and informative.
ANALYSIS:
I will summarize elements of the key pages contained as an attachment with this report.
❖ Page 2 - Review of fixed income securities market - The Federal Open Market Committee met
on November 2� and once again kept the fed funds target rate at a range of zero to 0.25
percent.
FOR CITY CLERK ONLY
File No.: -1
Council Meeting:
Disposition:-
SAN RAFAEL CITY COUNCIL AGENDA REPORT / Page: 2
❖ Page 6 — Recap of Securities Held — This page summarizes all of our operating funds. The
chart shows a majority of our investments are in U.S. instrumentalities. Most of the City's liquid
funds are held in the State of California LAIF pool, which is used as a daily account for
withdrawals and deposits. Unrealized gains or losses are recorded only at fiscal year end for
accounting purposes.
❖ Page 7 - Reflects Maturity Distribution - All our operating cash funds are held to mature in less
than one year (November 2012). One hundred percent of the total invested cash matures
within 90 days (again, the LAIF pool accounting for most of these dollars).
❖ Individual security information is presented on the "Securities Held" (pages 8). Specific
information is presented to show interest coupon rates, cost and fair values, earned income and
projected net yields. Acquiring diversified instruments with varying maturity dates allows the
market values to stay close to historical cost.
❖ Purchases (Page 10), sales (page 11) and transactions (page 12) are presented on separate
pages. This includes LAIF deposits and withdrawals for operating funds. Transaction for
November included a GE Capital maturity. LAIF activity reflects the need to move cash around
as large receipts are deposited (monthly sales tax payments) and expenses are incurred
(weekly vendor payments and semi-monthly payroll).
Our LAIF balance for November ended with a balance of $24,722,933. Portfolio returns on LAW
dollars should be about 0.39 percent for November 2011. The percentage of investments held one
year or less is one hundred percent at month end. By our own policy, this level of liquidity is adequate
to cover our cash flow projections in the coming months.
FISCAL IMPACT:
No financial impact occurs by adopting the report. The City continues to meet the priority principles of
investing - safety, liquidity and yield in this respective order. The portfolio remains conservatively
invested. Sufficient liquidity exists to meet daily operating and capital project requirements for the next
six months. Operating funds, as defined for this report, exclude cash held with fiscal agents for the
payment of bond principal and interest.
OPTIONS/ACTION REQUIRED:
The City Council should adopt the report as presented in order to satisfy current State Investment
Code requirements and City policy.
ATTACHMENTS
WAManagement Services- WorkFile\Finance- WorkFile\Council MateriakStaff Reports\201 1 \City\cityinvrpt1 1201 tdoc
SAN RAFAEL CITY COUNCIL AGENDA REPORT / Page: 3
TREASURER'S CERTIFICATION
I CERTIFY THAT ALL INVESTMENTS MADE ARE IN CONFORMANCE WITH THE CITY'S
APPROVED INVESTMENT POLICY AND STATE INVESTMENT REGULATIONS. THE CITY HAS
SUFFICIENT LIQUIDITY TO MEET ALL OF THE OBLIGATIONS REQUIRED DURING THE NEXT
SIX-MONTH PERIOD.
JANET PENDOLEY
INTERIM FINANCE DIRECTOR
CUTVVATER MANAGE'WEAT
Cutwater Asset Management
1900 Sixteenth Street, Suite 200
Denver, CO 80202
Tel: 303 860 1100
Fax: 303 860 0016
CiJ-- -
Ly
of San Rafael -
City
Operating Funds
Reports for the period November 1, 2011- November 30, 2011
Please contact Accounting by calling the number above or email camreDorts(a).cutwater.com with questions concerning this report.
Fixed Income Market Review
November 30, 2011
U.S. Unemplovment Rate
12/30/05 - 11130111
Treasury Yield Curves
10/31/11 - 11130111
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
........... ...... ............
E. . . . . . . . . . . . . . . . . . . . . . .
3 6 1 2 3 5 7 to 30
Economic Indicators & Monetary Policv — U.S. employers added a net
120,000 jobs in November, which was basically in line with expectations.
Payrolls from the prior month were revised higher to show a net gain of
100,000 in October compared to an initial estimate of 80,000. Private
payrolls increased by a net 140,000 in November compared to a revised net
increase of 117,000 in October. In a separate household survey, the U.S.
unemployment rate fell to 8.6 percent in November, the lowest level since
March 2009. (See Chart 1.) This household survey showed a 278,000 gain
in employment in November and a reduction of 315,000 in the labor force.
Inflationary pressures subsided in October, which gives the Federal Reserve
room to keep interest rates low. The Producer Price Index (PPI) fell more
than expected in October with a decline of 0.3 percent, the most in four
months. Headline PPI has increased 5.9 percent over the past year.
Excluding food and energy costs, known as the core index, PPI was up 2.8
percent over the past year, The Consumer Price Index (CPT) fell in October
with a decline of 0.1 percent, the first decline in four months. Over the past
year, headline CPT has increased 3.5 percent while core CPT was up 2.1
percent. The inflation outlook is rather benign due to weaker economic
conditions,
At its latest meeting on November 2"d,
the Federal Open Market Committee
(FOMC) kept the federal funds target rate at a range of zero to 0.25 percent.
The FOMC acknowledged "that economic growth strengthened somewhat
in the third quarter, reflecting in part a reversal of the temporary factors that
had weighed on growth earlier in the year." The Federal Reserve "Continues
to expect a moderate pace of economic growth over the coming quarters"
and maintained its pledge to keep the benchmark federal funds rate near
zero through at least mid -2013. The Fed plans to "continue its program to
extend the average maturity of its holdings of securities as announced in
September" thru the end of June 2012,
Yield Curve & Spreads — Treasury yields were essentially unchanged in
November with the FOMC expected to keep rates low indefinitely.
At the end of November, three-month Treasury bills yielded 0.00 percent,
six-month Treasury bills yielded 0.05 percent, two-year Treasuries yielded
0.25 percent, five-year Treasuries yielded 0.95 percent, 10 -year Treasuries
yielded 2.07 percent, and 30 -year bonds yielded 3.06 percent. (See Chart 2.)
Charts reprinted from Bloomberg L.P. Page 2 Cutwater Asset Management
Additional Information
November 30, 2011
A current version of the investment adviser brochure, for Cutwater Investor Services Corp., in the form of the Firm's ADV Part 2A is available for your review.
Please contact our Client Service Desk at 1-800-395-5505 or mail your request to:
Cutwater Investor Services Corp.
Attention: Client Services
H 3 King Street
Armonk, NY 10504
A copy of the brochure will be sent to you either by mail or electronically at your option.
In addition, a copy of the most recent version of the Firm's complete Form ADV can be downloaded from the SEC website at www.adviserinfo.sec.gov/
Cutwater Asset Management
Page 3
City of San Rafael - City Operating Funds
Activity and Performance Summary
for the period November 1, 2011 - November 30, 2011
Amortized Cost Basis Activitv Summary
Detail of Amortized Cost Basis Return
Beginning Amortized Cost Value
27272,864.29
Interest
Accretion
Realized
Total
Additions
Earned
(Amortization) Gain (Loss)
Income
Contributions
0.00
Current Holdings
Cash and Equivalents 9,288.72
0.00
0.00
9,288.72
Interest Received
12,500.00
U.S. Instrumentality 416.67
18.11
0.00
434.78
Accrued Interest Sold
(00
Sales and Maturities
train on Sales
0,00
Corporate 972.22
34.40
0.00
1,006.62
Total Addition,;
12,500.00
Total 10,677.61
52.51
0.00
10,730.12
Deductions
Withdrawals
2,061,500.00
Fees Paid
1,000,00
Accrued Interest Purchased
0.00
Loss on Sales
0.00
Total Deductions
(2,062,500.00)
Accretion (Amortization) for the Period
52.51
Ending Amortized Cost Value
25,222,916.80
Ending Pair Value
25,223,263.11
Unrealized Gam (Loss)
346.31
Annualized Comparative Rates of Return
Summary of Amortized Cost Basis Return for the Period
Twelve
Six
Mouth Trailing
Mouth Trailing
For the Month
Total Portfolio
Exel.
Cash Eq.
Fed Funds 0.11 °6
0.08%
0.09%
Interest Earned
10,677.61
1,388.89
Overnight Repo 0.06%
0.04%
0.06%
Accretion (Amortization)
52.51
5151
3 Month'r-Bill 0.06%
0.01%
0,00%
Realized Gain (Loss) on Sales
0.00
0.00
Total Income on Portfolio
10,730.12
1,441.40
6 Month T -Rill 11.09%
0.04%
0.02%
Average Daily Historical Cost
26,287,394.11
731,127.67
1 YearT-Note 020%
0.14%
0.11%
Annualized Return
0,50%
2.40%
2 Year "I' -Note 0,48%
0.30%
0.26%
Annualized Return Net of Fees
0.45%
0.73%
5 Year,r-Note 1.61%
1.17%
0.91%
Annualized Return Year to Date Net of Fees
0.58%
2,09%
Weighted Average Effective Maturity in Days
2
28
Amortized Cost Summary - Page 4 Cutwater Asset Management
City of San Rafael - City Operating Funds
Activity and Performance Summary
for the period November 1, 2011 - November 30, 2011
Fair Value Basis Activity Summary,
Detail of Fair Value Basis Return
Beginning Fair Value
27,274,432.61
Interest
Change in
Total
Additions
Earned
Fair Value
Income
Contributions
0.00
Current Holdings
Cash and Equivalents 9,288.72
0.00
9,288.72
Interest Received
12,500.00
U.S. Instrumentality 416.67
(382.00)
34.67
Accrued Interest Sold
000
Sales and Maturities
Corporate 972.22
(787,50)
184.72
Total Additions
12,500.00
Total 10,677,61
(1,169,50)
9,508.11
Deductions
Withdrawals
2,061,500.00
Fees Paid
1,000.00
Accrued Interest Purchased
0,00
Total Deductions
(2,062,500 00)
Change in Fair Value for the Period
(1,169,50)
Ending Fair Value
25,223,263.11
Annualized Comnarative Rates of Return
Summary of Fair Value Basis Return for the Period
Twelve
Six
Mouth Trailing
Month Trailing
For the Month
Total Portfolio
Excl. Cash Eq.
Fed Funds (). I I%
0,08%
0.09%
Interest Earned
10,677.61
1,388.89
Overnight Repo 0,06%
0.04%
0.06%
Change in Fair Value(1,169.50)(1,169,50)
Total Income on Portfolio
9,508.11
21939
3 Month T -Bill 0.13%
0.06%
0.00%
Average Daily Historical Cost
26,287,394. 11
731,127.67
6 Month'f-Bill 0.31%
026%
0 12%
Annualized Return
0.44%
0.37%
1 Year T -Note 0.51%
0,40%
0.36%
Annualized Return Net of Fees
0.39%
(1.30%)
2 Year T -Note 1.33%
1.26%
0,49%
Annualized Return Year to Date Net of Fees
0.40%
0.27%
5 Year T-Notc 5.95%
9,97%
5.60%
Weighted Average Effective Maturity in Days
2
28
Fair Value Sununary - Page 5 Cxuwat'T Asset Management
City of San Rafael - City Operating Funds
Recap of Securities Held
November 30, 2011
Portfolio / Segment Diversification
kt Cash and Equivalents 98.0%
U.S. Instrumentality 2.0%
Total: 100,0%
Holdings Recap - Page 6 Cutwater Asset Management
Weighted
Weighted
Weighted
Unrealized
Average
Average
is
Weighted
Average
I hmorical
Amortized
Gain
Final
Effective
portfolio/
Average
Market
Cost
Cost
Fair Value
(Loss)
Maturity (Days)
Maturity (Days)
Segment
Yield *
Duration (Years)
Cash and E.quivaleriN 24,722',933.11
24,721933 11
24,'722,933.11
0,00
1
1
9802
0,39
000
US Instrumentality 499.535 00
499,98369
500,33000
34631
28
28
1.98
1,04
008
TOTAL 25,222,468,11
25,222,916,80
25,223,263.11
346,31
2
2
100.00
0.40
0.00
* Weighted Average Yield is calculated on a "yield to worst" basis.
Portfolio / Segment Diversification
kt Cash and Equivalents 98.0%
U.S. Instrumentality 2.0%
Total: 100,0%
Holdings Recap - Page 6 Cutwater Asset Management
City of San Rafael - City Operating Funds
Maturity Distribution of Securities Held
November 30, 2011
Maturity
Historical Cost
Percent
Under 90 Days
25,221468. I 1
100.00%
90 To 180 Days
0.00
000%
180 Days to I Year
0.00
0-00%
I To 2 Years
0.00
0.00%
2 To 5 Years
0.00
0.00%
Over 5 Years
0.00
0.00%
J,a6ga�y <)�Oa�eat ^
25,222,468.11
100,00%
Maturity Distribution
28M
.
24M
r a
t.
16M
0 12M
8Mt
ti
4M.}�,:,:,
OM`
gfl ^b0 �Q ���y peaty �e5
o y
J,a6ga�y <)�Oa�eat ^
N,
Maturity Distribution - Page 7 Cutwater Asset Management
City of San Rafael - City Operating Funds
Securities Held
November 30, 2011
Historical Cost/
Amortized
Fair Value/
Unrealized
Total
%
Port
CUSIP/
Purchase
Ratc/
Maturity/ Par Value/
Accrued Interest
Cost/Accretion
Change
Gain
Interest
Interest
Accrued
Cost
Description
Date
coupon
Call Date Shares
Purchased
(Amortization)
In Fair Value
(Loss)
Received
Earned
Interest
Yield
Cash and Eciuividents
LAIF
1100111
0 385 V
24,722,933,11
24,722,933.11
24,722.933 11
24,722,933.11
000
0.00
9,28872
14,050.87
98.02 039
0,00
0.00
0.00
24,722,933 11
24,722,933 11
24,722,93111
24,722,933 11
0,00
0.00
9,28872
14,050.87
98.02
TOTAL
0.00
0.00
0,00
U.S. instrumentality
3133XVRS2
11/18/09
1 000
12/28/11 500,000.00
499.535.00
499,983,69
500,33000
346,31
0.00
416,67
2,125.00
198 1,04
FIILB
0.00
18-11
(382.00)
500,000 00
499,53500
499,983,69
500,33000
34631
0.00
416.67
2,12500
1,99
TOTAL
0.00
18.11
1382,00)
25,222,933.11
25,222,468.11
25,222,916.80
25,223,263.11
346.31
0.00
9,705.39
16,175.87
100-00
GRAND TOTAI,
0.00
18.11
(382.00)
V - variable rate, current
rale shown, average laic for Cash
& Equivalents
Holdings - Page 8
Cut
-water Asset Management
City of San Rafael - City Operating Funds
Maturity
GASB 40 - Deposit and Investment Risk Disclosure
YPQ Coupon
November 30, 2011
Date
Call S&P Moody Par Value Historical
% Portfolio
Date Ratinu R Ptina 1;l14rl-s ("nqt
T-Tiqt Cnqt
AAA Aaa 24,722,933.11 24,722,933,11
98.02
24,722,93111 24,722,933,11
99.02
ISSUER TOTAL.
GRAND TOTAL
Highlighted totals are issuers representing 5 00% or more of the portfolio's market value
AA+ Aria 500.000,00 499,535.00 198
500,000.00 499,535,00 1.98
25,222,933.111 25,222,468.11 100.00
GASB 40 - Page 9
Market
Maturity
CUSIP
YPQ Coupon
Mkt Dur (Yrs)
Date
LAIF
000
24,722,933.11
Cash and Equivalents 0.385
ISSUER TOTAL
500,330,00
FTILB
0.08
3133XVRS2
11,S. Instrumentality 1 000 12/28i2011
ISSUER TOTAL.
GRAND TOTAL
Highlighted totals are issuers representing 5 00% or more of the portfolio's market value
AA+ Aria 500.000,00 499,535.00 198
500,000.00 499,535,00 1.98
25,222,933.111 25,222,468.11 100.00
GASB 40 - Page 9
Market
% Portfolio
Weighted Avg
VAIlle Mkt Valve
Mkt Dur (Yrs)
24,722,93111
98,02
000
24,722,933.11
98,02
0.00
500,330,00
1.98
0.08
500,330.00
1.98
110,
25,223,263.11
100.00
0.00
Cutwater Asset Management
Purchases -Page 10 Cutwater Asset Management
Yield
0.39
City of San Rafael - City Operating Funds
Securities Purchased
for the period November 1, 2011 - November 30, 2011
Cl JSIP/ Purchase Rate/
Maturity/ Par Value/ UnitPrincipal
Accrued
Description Date Coupon
Call Date Shares Cost
Cost
Interest Purchased
Cash and Fituividents
T,AIF 11!16/2011 0.385 V
800,00000 100,000
800,000.00
000
TOTAL
800,00000
800,00000
0,00
GRAND TOTAL800,000.00
800,000.00
0.00
V = variable rate, opening rate shown, average rate for Cash & Equivalents
Purchases -Page 10 Cutwater Asset Management
Yield
0.39
City of San Rafael - City Operating Funds
Securities Sold and Matured
for the period November 1, 2011- November 30, 2011
Ct]SIP!
Sale or
Maturity
Rate/ 'Maturity'
Par Value,
Historical
Sale or Maturity ,
Maturity
Sale or Maturity I
---
Gain
Interest
Interest
Interest
Yield
Description
])are
('011pon Call Date
Shares
Cost
Acer / (Amort)
Price
Cha In Fair Value
(Loss)
Sold
Received
Earned
Cash and Eauivalents
LA1F
11,'07111
0 385 V
150,000 00
150,000 00
150,000 00
100.00
150,000.00
0.00
0.00
0.00
0.00
039
0.00
0.00
LAID
1 V14111
0,395 V
1,700,000.00
],700,000,00
1,700.000 00
10000
1,700,000 00
0.00
000
0.00
000
039
0.00
000
LAIF
11'20/ 11
0 195 V
500,000 00
500,000.00
500,000 00
100.00
500,000 00
0.00
0,00
000
0.00
0.39
0.00
000
2,3.50,000.00
2,350,000.00
2,350,000.00
2,350,000.00
0.00
000
000
0.00
I`COTAI
000
000
Corporate
36962GT39
11!1,5/11
5000 11/15/11
500,00000
495,270.00
500,000.00
100.00
500,000.00
0.00
000
12,500.00
972.22
520
GE Capital
34.40
(787.50)
00
496,270 00
.500,000.00
500,000 00
0.00
000
12,500 00
97222
I
TOTAL500,000
34,40
(787 50)
2,850,000.00
2,846,270.00
2,850,000.00
2,850,000.00
0.00
0.00
12,500,00
972.22
GRANDTOTAL
34.40
(787.50)
V = variable rate, current
rate shown,
average late for Cash & Cash
Equivalents
Sales - Page 1 I Cutwater Asset Management
Balance
150.000 00
1,850,000 00
2,350.000 00
2,362,500 00
1,562,500.00
2,062,500 00
2,062,500.00
Transactions - Page 12 Cutwater Asset Management
City of San Rafael - City Operating Funds
Transaction Report
for the period November 1, 2011 - November 30, 2011
Date CUSIP
1'ransaction
Sec Type
Description Maturity PAR Value/Shares Principal
Interest
Transaction Total
11/0712011
Sold
Cl;
LAIF 150,000.00 150,000,00
000
150,000 00
11/14/2011
Sold
CE
LAIF 1,700,00000 1,700,00000
0,00
1,700,000.00
11/15/2011 36962Cil'38
Matunty
COR
GB Capital 11/15/2011 500,000 00 500,000 00
000
500,000 00
36962GT38
Intelest
COR
GE Capital 11/15/2011 500.000.00 0.00
12,500.00
12,500,00
11/16/2011
Bought
CE
LAIF 800,000,00 800,000 00
000
(800,000 00)
11/29/2011
Sold
CE
LAIF 500,000 00 500,000.00
000
500,000,00
Portfolio Activity Total
' Net Contributions
0,00
Net Withdrawals
2,061,500.00 Fees Charged 1,000.00 '
g
Fees Paid
1,000.00
Balance
150.000 00
1,850,000 00
2,350.000 00
2,362,500 00
1,562,500.00
2,062,500 00
2,062,500.00
Transactions - Page 12 Cutwater Asset Management
Trans Settle Description
No Activity this period
City of San Rafael - City Operating Funds
Securities Bid and Offer
for the period November 01, 2011 - November 30, 2011
Call Date Broker Par Value Discount Price YTM/YTC Competitive Bids
Securities Purchased Bid and Offer - Page 13
Cutwater Asset Management
City of San Rafael - City Operating Funds
Upcoming Cash Activity
for the next 45 days
Maturity Next Transaction
Date Transaction c,'11S1P Description Coupon nate. Call Date Par (Shares Principal Interest Total
12i2W2011 Maturity 3133XVRS2 FHLB 1.000 12128,/2011 500,000 00 500,000.00 2,500.00 502,500 00
Upcoming Cash Activity - Page 14 Cutwater Asset Management
INSTRUCTIONS
DEPARTMENT:
DATE:
S -1.14N RAFAEL CITY COUNCIL
likilkl[c]"141 0 M N
USE THIS FORM WITH EACH SUBMITTAL OF A CONTRACT, AGREEMENT,
ORDINANCE OR RESOLUTION BEFORE APPROVAL BY COUNCIL / AGENCY.
Janet Pendoley
Finance Department
December 131, 2011
SRRA / SRCC AGENDA ITEM NO. 3f�
DATE OF
MEETING: 12/19/11
TITLE OF DOCUMENT: Investment Report for November 2011
f6&&�
Departm4ht Head (signature)
(LOWER HALF OF FORM FOR APPROVALS ONLY)
APPROVED AS COUNCIL /AGENCY
AGENDA ITEM:
City Manager (signature)
N.xkT,fj—JM
City Attorney (signature)