HomeMy WebLinkAboutFin Investment Report 2014.06Department: FINANCE
Prepared by: Van Bach
Accounting Manager
Agenda Item No: 3, e
Meeting Date: August 18, 2014
City Manager Approva
III -_-
SUBJECT: QUARTERLY INVESTMENT REPORT
RECOMMENDATION: ACCEPT INVESTMENT REPORT O® THE QUARTER ENDING
Pursuant to the State of California Government Code Section 53601 and the City's investment policy,
last reviewed and approved by Council on June 16, 2014, staff provides the governing body a report on
the City's investment activities. The report outlines the investment activity for the preceding quarter.
Included on the report are the cost of each investment, the interest rates (yield), maturity dates, and
market value. Separate schedules are prepared for both the City and the Successor Agency to San
Rafael Redevelopment Agency.
Since December 2011, the City's pooled funds not used for current operations have been invested
almost exclusively in the Local Agency Investment Fund (LAIF), a State-run investment pool. The one
exception to this was a $1,750,000 investment in assessment district bonds. Beginning in March 2014,
the City returned to an investment strategy that included purchases of securities outside of LAIF with
the assistance of its investment advisor, Cutwater Asset Management.
ANALYSIS:
As of June 30, 2014, the LAIF account had a balance of $30,534,032. Portfolio returns on LAIF dollars
are approximately .23% at quarter end. The remaining investment assets included the $1,697,400
balance of Pt. San Pedro Assessment District bonds, and $7,310,501 in government agency securities
and corporate bonds (including T -Note, FHLB, GE, and Toyota). The overall portfolio return for June
2014 was .37%.
The City's Westamerica account had a balance of $17,969,564 at quarter end.
Exhibit A is composed of the three monthly reports summarizing the City's investments for the quarter
ending June 30, 2014.
FOR CITY CLERK ONLY
File No.: g X -S 2f
Council Meeting:
Disposition,: ilperiz�& I
No financial impact occurs • adopting the report. The City continues to meet the priority principles of
-investing - safety, liquidity and yield in 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 • this report, exclude cash held with fiscal agents for the
payment of bond principal and interest.
The City Council should adopt the report as presented in order to satisfy current State Investment
Code "• and City policy.
Attachment
SAN RAFAEL CITY COUNCIL AGENDA REPORT / Pau 4
TREASURER'S CERTIFICATION
APPROVED INVESTMENT POLICY AND STATE INVESTMENT REGULATIONS. THE CITY HAS
SUFFICIENT LIQUIDITY i MEET ALL OF OBLIGATIONS RE
r-
TkA''
1 • i•
San Rafael
Activity and Performance Summary
for the period June 1, 2014 - June 30, 2014
Fair Value Basis Activit v Summary
Beginning Fair Value 35,782,492.77
Additions
Contributions 3,774,359.12
Interest Received 1,083.33
Accrued Interest Sold 0.00
Total Additions 3,775,442.45
Deductions
Withdrawals 0.00
Fees Paid 1,000.00
Accrued Interest Purchased 7,721.35
Total Deductions (8,721.35)
Change in Fair Value for the Period (6,090.60)
Ending Fair Value 39,543,123.27
Annualized Comparative Rates of Return
Detail of Fair Value Basis Return
Total Portfolio Excl. Cash Eq.
Twelve
Six
Change in
Total
Month Trailing
Mouth Trailing
One Month
Fed Funds
0.08%
0.08%
0.10%
Overnight Repo
0.06%
0.06%
0.11%
3 Month T -Bill
0.09%
0.09%
0.05%
6 Month T -Bill
0.15%
0.14%
0.03%
1 Year T -Note
0.31%
0.32%
0.12%
BAML 1-3 Yr Tsy Index
0.76%
0.83%
-0.54%
BAMI, 1-5 Yr T Index
1.16%
1.62%
-1.22%
Summary of Fair Value Basis Return for the Period
Detail of Fair Value Basis Return
Total Portfolio Excl. Cash Eq.
Interest Earned
Interest
Change in
Total
j0�06Q
Earned
Fair Value
Income
Current Holdings
Average Daily Historical Cost
36,813,740.01
6,279,707.74
Cash and Equivalents
5,721.99
0.00
5,721.99
U.S. Treasury
465.63
2,343.90
2,809.53
I-T.S. Instrumentality
21237.48
(5,942.50)
(3,705.02)
Corporate
1,534.72
(2,492.00)
(957.28)
Municipal
7,426.12
0.00
7,426.12
Total
17,385.94
(6,090.60)
119295.34
Summary of Fair Value Basis Return for the Period
Total Portfolio Excl. Cash Eq.
Interest Earned
17,385.94
11,663.95
Change in Fair Value(6
j0�06Q
t 6., Q 9 0. �6O
Total Income on Portfolio
11,295.34
5,573.35
Average Daily Historical Cost
36,813,740.01
6,279,707.74
Annualized Return
0.37%
1.08%
Annualized Return Net of Fees
0.34%
0.89%
Annualized Return Year to Date Net of Fees
0.63%
2.53%
Weighted Average Effective Maturity in Days
424
1,859
Fair Value Summary - Page I Cutwater Asset Management
San Rafael
Recap of Securities Held
June 30, 2014
Holdings Recap - Page 1 Cutwater Asset Management
Historical
Cost
Amortized
Cost
Fair Value
Unrealized
Gain
(Loss)
Weighted
Average
Final
Maturity (Days)
Weighted
Average
Effective
Maturity (Days)
%
Portfolio/
Segment
Weighted
Average
Yield *
Weighted
Average
Market
Duration (Years)
Cash and Equivalents
30,534,032.27
30,534,032.27
30,534,032.27
0.00
1
1
77.22
0.23
0.00
U.S. Treasury
2,752,871.10
2,752,845.66
2,755,215.00
2,369.34
864
864
6.96
0.65
2.34
U.S. Instrumentality
3,513,095.00
3,511,674.35
3,516,033.00
4,358.65
948
636
8.88
0.74
1.72
Corporate
1,044,535,00
1,041,839.65
1,040,443.00
(1,396.65)
824
824
2.64
0.81
2.18
Municipal
1,697,400.00
1,697,400.00
1,697,400.00
0.00
6,639
6,639
4.29
525
0.00
Total
39,5419933.37
399537,791.93
39,543,123.27
5,331.34
452
424
100.00
0.53
0.37
* Weighted Average Yield is calculated on a "yield to worst" basis.
Holdings Recap - Page 1 Cutwater Asset Management
Portfolio Segment Diversification
Cash and Equivalents
77.2%
U.S. Treasury
7.0%
U.S. Instrumentality
8.9%
Corporate
2.6%
Municipal
4.3%
Total
100.0%
Holdings Recap - Page 1 Cutwater Asset Management
San Rafael
Activity and Performance Summary
for the period June 1, 2014 - June 30, 2014
Amortized Cost Basis Activity Summary
Annualized Com par.
itive Rates of Return
Beginning Amortized Cost Value
Interest
35,772,630.80
Additions
Total
(1,559.97)
Contributions
3,774,359.12
One Month
Interest Received
1,083.33
0.08%
Accrued Interest Sold
0.00
0.06%
Gain on Sales
0.00
3 Month T -Bill
Total Additions
0.03%
3,7757442.45
Deductions
0.05%
0.05%
Withdrawals
0.00
0.12%
Fees Paid
1,000.00
2 Year T -Note
Accrued Interest Purchased
7,721.35
0.45%
Loss on Sales
0.00
1.63%
Total Deductions
0.00
(8,721.35)
Accretion (Amortization) for the Period
Total
(1,559.97)
Ending Amortized Cost Value
0.00
39,537,791.93
Ending Fair Value
39,543,123.27
Unrealized Gain (Loss)
5,331.34
Detail of Amortized Cost Basis Return
Annualized Com par.
itive Rates of Return
Total Portfolio Excl. Cash Eq.
Interest
Twelve
Six
Total
(1,559.97)
Month Trailing
Month Trailing
One Month
Fed Funds
0.08%
0.08%
0.10%
Overnight Repo
0.06%
0.06%
0.11%
3 Month T -Bill
0.03%
0.03%
0.02%
6 Month T -Bill
0.05%
0.05%
0.04%
1 Year T -Note
0.12%
0.11%
0.10%
2 Year T -Note
0.37%
0.40%
0.45%
5 Year T -Note
1.55%
1.63%
1.68%
Detail of Amortized Cost Basis Return
Total Portfolio Excl. Cash Eq.
Interest
Accretion
Realized
Total
(1,559.97)
Earned
(Amortization)
Gain (Loss)
Income
Current Holdings
15,825.97
10,103.98
Average Daily Historical Cost
36,813,740.01
Cash and Equivalents
5,721.99
0.00
0.00
5,721.99
U.S. Treasury
465.63
(25.44)
0.00
440.19
U.S. Instrumentality
2,237.48
(445.37)
0.00
1,792.11
Corporate
1,534.72
(1,089.16)
0.00
445.56
Municipal
7,426.12
0.00
0.00
7,426.12
Total
179385.94
(19559.97)
0.00
159825.97
Summary of Amortized Cost Basis Return for the Period
Total Portfolio Excl. Cash Eq.
Interest Earned
17,385.94
11,663.95
Accretion (Amortization)
(1,559.97)
(1,559.97)
Realized Gain (Loss) on Sales
0.00
0.00
Total Income on Portfolio
15,825.97
10,103.98
Average Daily Historical Cost
36,813,740.01
6,2791707.74
Annualized Return
0.52%
1.96%
Annualized Return Net of Fees
0.49%
1.76%
Annualized Return Year to Date Net of Fees
0.59%
2.19'!/o
Weighted Average Effective Maturity in Days
424
1,859
Amortized Cost Summary - Page I Cutwater Asset Management
Additional Information
June 30, 2014
The opinions expressed above are those of Cutwater Asset Management and are subject to change without notice. All statistics represent month-end figures
unless otherwise noted.
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
113 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.adviseri,tifo.se
' "Federal Reserve Board Press Release, June 18, 2014
Cutwater Asset Management
Fixed Income Market Review
June 30, 2014
New Home Sales
6/2008 -6/2014
Treasury Yield Curves
05%31/2014-06/30/2014
Economic Indicators & Monetary Policy -- The final reading of the first
quarter GDP was negative 2.9 percent. This marks the worst quarter for GDP
since the first quarter of 2009. The change from the second reading of negative
I percent is the largest downward revision since records were first kept in 1976.
Lower health care spending and the extreme winter weather had a significant
impact on GDP. Looking forward, the first reading of the second quarter GDP
will be released on July 30.
Employment indicators released in June showed little movement. The
unemployment rate remained at 6.3 percent in May, unchanged from the
previous month. Underemployment decreased by. I percent to 12.2 percent and
the Labor Force Participation rate remained unchanged at 62.8 percent. 217,000
jobs were added in May, slightly higher than the monthly average this year of
213,600.
Inflation indicators remained relatively unchanged as well. Including food and
energy, the headline Producer Price Index for May decreased .1 percent to 2.0
percent on a year -aver -year basis. Year -over -year, the Consumer Price Index
increased. I percent to 2.1 percent including food and energy in May.
Meanwhile, housing indicators improved. Existing home sales increased to 4.9
percent in May from 1.3 percent in April. New home sales surged to 18.6
percent growth in May from 6.4 percent growth in April. (See Chart 1) The
increase in new home sales represents the largest monthly gain since 1992.
The Federal Open Market Committee (FOMC) concluded its most recent
meeting on June 18. The FOMC once again voted to leave the Fed Funds target
rate at zero to .25 percent. The Committee also continued tapering its asset
purchases. Current monthly purchases include $20 billion of treasury securities
and $15 billion of mortgage backed securities. The FOMC will likely remain
cautious when considering a future increase in interest rates. The Committee
stated, "the unemployment rate, though lower, remains elevated... Inflation has
been running below the Committee's longer -run objective, but longer-term
inflation expectations have remained stable."I
Yield Curve & Spreads - At the end of June, the 3 -month Treasury bill yielded
0.02 percent, the 6 -month Treasury bill yielded 0.06 percent, the 2 -year
Treasury note yielded 0.46 percent, the 5 -year Treasury note yielded 1.63
percent, the l0 -year Treasury note yielded 2.53 percent, and the 30 -year
Treasury yielded 3.36 percent. (See Chart 2)
Charts sourced from Bloomberg Finance LP Cutwater Asset Management
CUTWATER
Report for the period June 1, 2014 - June 30, 2014
C F"%
utwater Asset Management
1331 17th Street, Suite 602
Denver, CO 80202
Tel: 303 860 1100
Fax: 303 860 0016
Please contact Accounting by calling the number above or email cam repo rtsOcutwate r. co m with questions concerning this report.
( This report was prepared on July 14, 2014 )
San Rafael
Maturity Distribution of Securities Held
June 30, 2014
Maturity
Historical Cost
Percent
- 11
Under 90 Days
31,533,782.27
79.75%
90 To 180 Days
0.00
0.00%
180 Days to I Year
0.00
0.00%
i To 2 Years
500,670.00
1.270/0
2 To 3 Years
5,810,081.10
14.690/0
3 To 4 Years
0.00
0.00%
4 To 5 Years
0.00
0.00%
Over 5 Years
1,697,400.00
4.29 'Yo
-Z-�t1
momm
NEON moo
Maturity Distribution
0
39,5419933.37
tK
Ap A10
tK
Holdings Distribution - Page 1
100.00%
ME=
TOTAL (Cash and Equivalents) 30,534,032,27 30,534,032.27 30,534,032.27 30,534,032,27 0.00 0.00 5,721.99 17,601.82 77.22
0.00 OM 0.00
U.S. Treasur
San Rafael
Securities Held
June 30, 2014
912828V1 8
06/24/14
Historical Cost/ Amortized Cost/
Fair Value/ Unrealized
Total
%
CUSIP/
Purchase Rate/ Maturity/ Par Value/ Accrued Interest Accretion
Change In Fair Gain
Interest Interest Accured
Port
Description
Date Coupon Call Date Shares Purchased (Amortization)
Value (Loss)
Received Earned Interest
Cost Yield
Ca,S,hAAd_EqMjywtAb
2,227,21
(14.67)
LAIF
06/30/14 0.228V 30,534,032.27 30,534,032.27 30,534,032.27
30,534,032.27 0.00
0.00 5,721.99 17,601.82
77.22 0.23
0.00 0.00
0.00
06/10/14
0.625
TOTAL (Cash and Equivalents) 30,534,032,27 30,534,032.27 30,534,032.27 30,534,032,27 0.00 0.00 5,721.99 17,601.82 77.22
0.00 OM 0.00
U.S. Treasur
912828V1 8
06/24/14
0.625
08/15/16
1,000,000.00
1,001,640.63
1,001,625.96
1,002,42100
796.04
0.00
120.86
2,348.07
2.53
0.55
T -Note
2,227,21
(14.67)
781.37
942828WF3
06/10/14
0.625
11/15/16
500,000.00
500,23438
500,228.84
500,078.00
(1,50.84)
0.00
178.33
399.12
1.27
0.61
iat
220.79
(5.54)
(156.38)
912828WF3
06/24/14
0.625
11/15/16
500,000.00
499,53L25
499,535.00
500,078.00
543.00
0.00
59.45
399.12
1.26
0.66
T. -Note
339.67
3.75
546.75
912828SJO
06/25/14
0.875
02/28/17
750,000.00
75 1,464.84
751,455.86
752,637.00
1,181.14
0.00
106.99
2,193.44
1.90
0.80
T -Note
07/03/14
2,086.45
(8.98)
1,172.16
ToTAL (U.S. Treasury) 2,750,000.00 2,752,871.10 2,752,845,66 2,755,215.00 2,369,34 0.00 465.63 5,339.75 6.96
4,874. 12 (25.44) 2,343.90
U.S. Instrun4ntal
91-ity
3133EDDP4
03/17/14
0.520
06/17/16
500,000.00
500,670M0
500,58171
500,398.00
(18531)
1,083.33
216.66
101.11
L27
0.46
FFCB
OAA)
(24A2)
(808.00)
3135CTOCM3
03/28/14
1.250
09/28/46
1,000,000.00
1,014,450.00
1,012,949.73
1,014,574.00
1,624.27
0.00
1,041.67
3,229.17
2.57
0.67
FNMA
0.00
(473.77)
(2,849.00)
31371 DCO
03/28/14
1 JAX)
03/08/17
500,000.00
501,500,00
501,367.57
503,034.50
1,666.93
0.00
416.66
1,569.44
1.27
0.90
1111"MC
277.78
(41.82)
(298.00)
3130A I DB I Call
04/03/14
0.500V
04/03/17
500,000.00
499,750.00
499,770.30
500,292.50
522.20
0.00
208.33
611.11
1.26
1.01
FHLB
07/03/14
0.00
6.84
131.50
3135GOZB2
03/28/14
0.750
04/20/17
500,000.00
496,725.00
497,003,04
497,633.00
629.96
0.00
312.50
739.58
1.26
0.97
FNMA
0.00
87.80
(2,230,00)
3130A2 8 Call
06/25/14
0.500V
12/19/17
500,000.00
500,000.00
500,000M
500,101.00
101.00
0.00
41.66
83.33
1.26
0.50
F,HLB
09/19/14
41.67
0.00
101.00
TOTAL, (UJ,S. Instrumentality) 3,500,000A0 3,513,095.00 3,511,674,35 3,516,03100 4,358.65 1,083.33 2,237.48 6,333.74 8.88
319,45 (445.37) (5,942.50)
89233P5E2
06/26/14 2.000 09/15/16 500,000.00 513,850M 513,76432 512,938.50 (826.22) 0.00 138.88 2,944.44 1.30 0.74
Holdings - Page I Cutwater Asset Management
TOTAL (Corporate) 1,000,000.00 1,044,535.00 1,041,839.65 1,040,443.00 (1,396.65) 0,00 1,534.72 6,387.50 2,64
2,805.56 (1,089.16) (2,492.00)
Mv U * * a I
W—Mm—
Pt, San Pcdro Assess 03/01/14 5.250 09/02/32 1,697,400.00 1,697,400.00 1,697,400.00 1,697,400.00 (Wo 0.00 7,426.12 29,456.96 4.29 5.25
(MA) 0.00 (MA)
I'AL (Municipal) 1,697,400.00 1,697,400.00 1,697,400,00 1,697,400.00 (00 0.00 7,426.12 29,456.96 4.29
0.00 0.00 0D0
w . . . . . . . . . . . . . . . . . . . . . . . . . . . . - - - - - - - - - - - - - - - - - - - - - m - - ft . . m - - m . . . . . . m - m . . . . . . M M M . M - m ft . . . . . . . m . . ft m m . m M . . . . . . m m M M . m . m - - -
GRAND TOTAL 39,481,432.27 39,541,933.37 39,537,791.93 39,543,123.27 5,331.34 1,083.33 17,385.94 65,119.77 100.00
79999.13 (1,559.97) (6,090.60)
V zz variable rate, Current rate shown, average rate for Cash & Equivalents
Holdings - Page 2 Cutwater Asset Management
San Rafael
Securities Held
June 30, 2014
Historical Cost/ Amortized Cost/
Fair Value/
Unrealized
Total %
CUSIP/
Purchase Rate/ Maturity/ Par Value/ Accrued Interest Accretion
Change In Fair
Gain Interest
Interest Accured Port
DescrilAion
Date Coupon Call Date Shares Purchased (Amortization)
Value
(Loss) Received
Earned Interest Cost Yield
"Foyota Motor Credit
2,805.56 (85.28)
(911.50)
36962G5H3
04/14/14 3.350 10/17/16 500,000.00 530,685.00 528,074.93
527,504.50
(570,43) 0.00
1,395.84 3,443.06 1.34 0.87
G117, Capital
0.00 (1,003.88)
(1,580,50)
TOTAL (Corporate) 1,000,000.00 1,044,535.00 1,041,839.65 1,040,443.00 (1,396.65) 0,00 1,534.72 6,387.50 2,64
2,805.56 (1,089.16) (2,492.00)
Mv U * * a I
W—Mm—
Pt, San Pcdro Assess 03/01/14 5.250 09/02/32 1,697,400.00 1,697,400.00 1,697,400.00 1,697,400.00 (Wo 0.00 7,426.12 29,456.96 4.29 5.25
(MA) 0.00 (MA)
I'AL (Municipal) 1,697,400.00 1,697,400.00 1,697,400,00 1,697,400.00 (00 0.00 7,426.12 29,456.96 4.29
0.00 0.00 0D0
w . . . . . . . . . . . . . . . . . . . . . . . . . . . . - - - - - - - - - - - - - - - - - - - - - m - - ft . . m - - m . . . . . . m - m . . . . . . M M M . M - m ft . . . . . . . m . . ft m m . m M . . . . . . m m M M . m . m - - -
GRAND TOTAL 39,481,432.27 39,541,933.37 39,537,791.93 39,543,123.27 5,331.34 1,083.33 17,385.94 65,119.77 100.00
79999.13 (1,559.97) (6,090.60)
V zz variable rate, Current rate shown, average rate for Cash & Equivalents
Holdings - Page 2 Cutwater Asset Management
San Rafael
GASB 40 - Deposit and Investment Risk Disclosure
June 30, 2014
I
3135GOCM3 U.S. Instrumentality
1,250 09/28/2016 AA+ Aaa
1,014,450.00
Maturity
S&P
Moody
Par Value I
Historical
% Portfolio
Market
% Portfolio
Weighted Avg
CUSIP
Type
Coupon
Date
Call Date Rating
Rating
Shares
Cost
Hist Cost
Value
Mkt Value
Mkt Dur (Yrs)
LA11F
36962G5113 Corporate
3.350 10/17/2016 AA+ Al 500,000,00
530,685.00
1.34
527,504.50
1.33
2.21
ISSUER TOTAL,
Cash and Equivalents
0.228
01/30/3100
NR
NR
30,534,032.27
30,534,03127
77.22
30,534,032.27
77.22
0.00
ISSUER TOTAL
30,534,032.27
30,534,032.27
77,22
30,534,032.27
77,22
0.00
T -Note
912828VR8
U.S. reasury
0,625
08/15/2016
AA+
Aaa
1,000,000,00
1,001,640.63
2.53
1,002,422.00
2.54
2.11
912828WH
U,S. Treasury
0.625
11/15/2016
AA+
Aaa
1,000,000.)0
999,765.63
2.53
1,000,156.00
153
235
912828SJO
U,S. Treasury
0.875
02/28/2017
AA+
Aaa
750,000.00
751,464.84
1.90
752,637,00
1.90
2.63
ISSUER TOTAL
2i750,000.00
2,752,871.10
6.96
2,755,215.00
6.97
234
Municipal
5.250
09/02/2032
1,697,400.00
1,697,400.00
4.29
1,697,400.00
4.29
0.00
ER TOTAL,
1,697,40000
1,697,400A0
4,29
1,697,400.00
4,29
om
I
3135GOCM3 U.S. Instrumentality
1,250 09/28/2016 AA+ Aaa
1,014,450.00
2.57
1,014,574.00
2.57
2.21
3135(')()ZB2 U.S. Instrumentality
0,750 04/20/2017 AA+ Aaa 500,000.00
496,725.00
1.26
497,633.00
1,26
176
ISSUER TOTAL,
1,500,000,00
1,511,175.00
3,82
1,512,207.00
3.82
2.39
GTI-C*44-1
36962G5113 Corporate
3.350 10/17/2016 AA+ Al 500,000,00
530,685.00
1.34
527,504.50
1.33
2.21
ISSUER TOTAL,
530,685.00
134
527,504,50
1.33
2,211
89233P5E2 Corporate 2.000 09/15/2016 AA- Aa3 500,000m 513,850.00 1.30 512,938.50 130 2.15
1 S SU ER TOTAL 500,000,00 513,850.00 1.30 512,938,50 130 2.15
FHIIMC
3137EADCO U.S. Instrumentality 1.000 03/08/2017 AA+ Aaa 500,000.00 501,500.00 1.27 503,034.50 1.27 2.64
ISSUER TOTAL, 500,000.00 501,500.00 1.27 503,034,50 1.27 2,64
FFCB
31331'f)DP4 U.S. Instrumentality 0,520 06/17/2016 AA+ Aaa 500,000.00 500,670.00 1,27 500,398.00 1.27 1.95
ISSTJER TOTA1, 500,000.00 500,670,00 1.27 500,398.00 1.27 1.95
GASB 40 - Page I Cutwater Asset Management
San Rafael
GASB 40 - Deposit and Investment Risk Disclosure
June 30, 2014
Maturity S&P Moody Par Value Historical % Portfolio Market % Portfolio Weighted Avg
CUS1.111 Type Coupon Date Call Date Rating Rating Shares Cost Hist Cost Value Mkt Value Mkt Dur (Yrs)
FHLB
3130A I DB I U.S, Instrumentality
0,500 04/03/2017 07/03/2014 AA+ Aaa 500,000.00
499,750.00
1.26 500,29150
1.27 0.01
EISStJER TOTAL,
500,000.00
499,750.00
1.26 500,292.50
1.27 0.01
FEDERAL HOME LOAN BANK
313OA25Y8 U,S, InStfUllientality
0,500 12/19/2017 09/19/2014 AA+ Aaa 500,000.00
500,000.00
1.26 500,101.00
1.26 0.22
ISSUER TOTAL,
500,000.00
500,000.00
1,26 500,101.00
1.26 0.22
GRAND TOTAL 39,481,432.27 39,541,933.37 100.00 39,543,123.27 100.00 0.37
Highlighted totals are issuers representing 5.00% or more of the portfolio's market value
GASB 40 - Page 2 Cutwater Asset Management
San Rafael
Securities Purchased
June 1, 2014 - June 30, 2014
Purchase Maturity/ Par Value/ Principal Accrued
CUSIP/ Description Date Rate/Coupon Call Date Shares Unit Cost Cost Interest Purchased Yield
U.S. Treasu
912828WF3
06/10/2014
0.625
11/15/2016
500,000.00
100,047
500,234.38
220.79
0.61
-Note
912828VR8
06/24/2014
0,625
08/15/2016
1'000,0)(m)()
100.164
1,001,640,63
2,227.21
0.55
T -Note
912828WF3
06/24/2014
0.625
11/15/2016
500,000.00
99,906
499,531.25
339.67
0,66
T - Note
912828SJO
06/25/2014
04875
02/28/2017
750,000.00
100,195
751,464.84
2,086.45
0.80
T -Note
ITOTAL (U.S. Treasury)
2,750,000.00
2,752,871.10
4,874.12
L----- MM
3130A25Y8 Call 06/25/2014 0.500V 12/19/2017 500,000.00 100.000 500,000.00 41.67 0.50
FHLB 09/19/2014
TOTAL (U.S. Instrumentality) 500,000.00 500,000.00 41.67
of orate
892331'51 2 06/26/2014 2,000 09/15/2016 500,000,00 102.770 513,850.00 2,805.56 0.74
Toyota Motor Cr
(Corporate) 500,000.00 513,850.00 2,805.56
................................. m ......................... m ...................... m ............
GRAND TOTAL 3,750,000.00 3,7669721.10 7,721.35
V - variable rate, current rate shown, average rate for C"ash & Equivalents
Purchases - Page I Cutwater Asset Management
San Rafae"I
Securities Sold and Matured
June 1, 2014 - June ,30, 2014
---------------------------------------------------
NOTE: There is no activity for the period,
...... m .................. m ........... m ..... m .....
Sales - Page I Cutwater Asset Management
San Rafael
Transaction Report
for the period June 1, 2014 - June 30, 2014
Date CUSIP Transaction Sec Type Description Maturity PAR Value/Shares Principal Interest Transaction Total Balance
06/10/2014
912828WF3
Bought
TSY
T -Note
11/15/2016
500,000.00
500,234.38
06/17/2014
3133EDDP4
Interest
INS
FFCB
06/17/2016
500,000.00
0.00
06/24/2014
912828VR8
Bought
TSY
T -Note
08/15/2016
1,000,000,00
4,001,640.63
06/24/2014
9128218WH
Bought
TSY
T -Note
11/15/2016
500,000.00
499,531.25
06/25/2014
3130A25Y8
Bought
INS
FHLB
12/19/2017
500,000.00
500,000.00
06/25/2014
912828SJO
Bought
TSY
T -Note
02/28/2017
750,000.00
751,464.84
06/26/2014
892'33P5E2
Bought
COR
Toyota Motor Credit
09/15/2016
500,000.00
513,850.00
=Net Contributions: 3,774,359.12 1 F Fees Charged: 1,000.00
I Net Withdrawls: 0.001 1 Fees Paid: 19000.00
220.79
(500,455.17)
(500,455.17)
1,083.33
103.33
(499,371.84)
2,227.21
(1,003,867,84)
(1,503,239.68)
339.67
(499,870.92)
(2,003,110.60)
41.67
(500,041.67)
(2,503,152.27)
2,086.45
(753,551.29)
(3,256,703.56)
2,805.56
(516,655.56)
(3,773,359.12)
Portfolio Activity Total (31773,359.12)
Transactions - Page 1 Cutwater Asset Management
San Rafael
Securities Bid and Offer
for the period 6/1/2014 - 6/30/2014
Trans Settle Description Call Date Broker Par Value Discount Price YTM/YTC Competitive Bids
BUY
06/10/2014
T-Note.625 11/15/2016
RBC
500,000
100.047
.61%
MS - T.625% 11/15/16 @.60%
WSF - T .6250/o 11/15/16 @ .600/0
BUY
06/24/2014
T-Note.625 08/15/2016
WELLS
100.164
.55%
MS - T .625'% 8/ 15/16 (& .54%
UBS - T.625% 8/15/16 @.54%
BUY
06/24/2014
T-Note.625 11/15/2016
MIZ
500,000
99.906
.660%
MS - T.625% 11/15/16 Ca-) .650%
UBS - T.625% 11/15/16 @.66%
BUY
06/25/2014
FHLB .5 12/19/2017
09/19/14 RBC
500,000
100.000
1.420/o/.50%
MS - FNMA .75% 12/19/14 @ .11°/,
UB S - FHLB .09% 12/16/14 (a) .11 %
BUY
06/25/2014
T-Note.875 02/28/2017
RBC
750,000
100.195
.80%
WSF - T.875(Yo 2/28/17 @.79%
JEF - T.875% 2/28/17 (& .79%
BUY
06/26/2014
TOYOTA 2 09/15/2016
RBC
500,000
102.770
.74%
MS - AMEX 9/19/16 @.68%
WSF - 2% FHLB 9/09/16.61 %
Securites Bid and Offer - Page 1 Cutwater Asset Management
San Rafael
Upcoming Cash Activity
for the next 45 days
- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - A . . . . . . . .
NOTE: There is no activity for the period,
..................... M. - M ............. M w ...........
Upcoming Cash Activity - Page 1 Cutwater Asset Management
CUTWATER
Ass L=': MANAGEMEN"r
New York Office
113 King Street
Armonk, NY 10504
Tel: 866 766 3030
Fax: 914 765 3030
Colorado Office
1331 17th Street, Suite 602
Denver, CO 80202
Tel: 303 860 1100
Fax: 303 860 0016
For any questions concerning this report please contact accounting either by phone or email to camreportsC@cutwater.com. ,
4
AssET MANAGEME]
Report for the period May 1, 2014 - May 31, 201 11
Cutwater Asset Manageme
1331 17th Street, Suite 60
Denver, CO 8020
Tel: 303 860 110
Fax: 303 860 001
Please contact Accounting by calling the number above or email cam reports(cD-cutwater. com with questions concerning this report.
( This report was prepared on June 10, 2014 )
Consumer Price Index
05/2008-05/2014
A
Fixed Income Market Review
May 31, 2014
Treasury Yield Curves
04/30/2014-05/31/2014
Chart 2
Economic Indicators & Monetary Policy — The second reading of the first
quarter Gross Domestic Product (GDP) was released in May. The economy
contracted at an annualized pace of 1.0 percent, doubling the 0.5 percent
decrease expected by analysts. This marks the first time that GDP was negative
since the first quarter of 2011.
Inventory growth was slower than expected and companies reduced investment,
in part as a result of the extreme weather conditions during the first quarter.
Some analysts are optimistic that the first quarter GDP may have been an
anomaly based on strong manufacturing and job growth in recent months. The
first quarter GDP number will be revised once more and that data will be
released on June 25.
Other economic indicators released in May showed improvement. The
unemployment rate dropped to 6.3 percent in April, the lowest since September,
2008. Underemployment decreased in April to 12.3 percent, its lowest level
since October, 2008. However, the steady improvement in employment
measures was coupled with a decline in the labor force participation rate, which
dropped to 62.8 percent, the lowest in 36 years.
Both the Producer Price Index and the Consumer Price Index (chart 1) reported
gains in April, increasing to 2.1 percent and 2.0 percent respectively on a year -
over -year basis, including food and energy. Housing indicators improved, but
fell short of analyst expectations. Existing home sales increased by 1.3 percent
on a month -over -month basis, while new home sales increased by 6.4 percent
on a month -over -month basis.
The Federal Open Market Committee (FOMC) did not meet in May; however,
the minutes from the April 30th meeting were released. The committee
acknowledged cautious optimism for the economy saying, "Labor market
indicators were mixed but on balance showed further improvement. The
unemployment rate, however, remains elevated."' If the FOMC continues its
current pace of bond purchase tapering, then the purchase program known as
quantitative easing will end in the last quarter of 2014.
Yield Curve & Spreads - At the end of April, the 3 -month Treasury bill
yielded 0.03 percent, the 6 -month Treasury bill yielded 0.05 percent, the 2 -year
Treasury note yielded 0.38 percent, the 5 -year Treasury note yielded 1.54
percent, the 10 -year Treasury note yielded 2.48 percent, and the 30 -year
Treasury yielded 3.32 percent. (See Chart 2)
Charts sourced from Bloomberg Finance LP Cutwater Asset Management
Additional Information
May 31, 2014
The opinions expressed above are those of Cutwater Asset Management and are subject to change without notice. All statistics represent month-end figures
unless otherwise noted.
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
113 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
1 "Federal Reserve Board Press Release, April 30, 2014
Cutwater Asset Management
San Rafael
Activity and Performance Summary
for the period May 1, 2014 - May 31, 2014
Amortized Cost Basis Activit v Summar
Annualized Comoarative Rates of Return
Beginning Amortized Cost Value
Interest
35,774,128.34
Additions
Total
Accretion (Amortization)
Contributions
1,000.00
One Month
Interest Received
0.00
0.08%
Accrued Interest Sold
0.00
0.05%
Gain on Sales
0.00
3 Month T -Bill,
Total Additions
0,03%
1,000.00
Deductions
0.06%
0.05%
Withdrawals
0.00
0.12%
Fees Paid
1,000.00
2 Year T -Note
Accrued Interest Purchased
0.00
0,39%
,Loss on Sales
0.00
1.61 %
Total Deductions
(11497.54)
(1,000.00)
Accretion (Amortization) for the Period
(1,497.54)
Ending Amortized Cost Value
35,772,630.80
Ending Fair Value
35,782,492.77
Unrealized Gain (Loss)
91861.97
Detail of Amortized Cost Basis Return
Annualized Comoarative Rates of Return
Total Portfolio
Interest
Twelve
Six
Total
Accretion (Amortization)
Month Trailing
Month Trailing
One Month
Fed Funds
0.08%
0.08%
0.09%
Overnight Repo
0.05%
0.05%
0.06%
3 Month T -Bill,
0.03%
0,03%
0.02%
6 Month T -Bill
0.06%
0.05%
0.04%
1, Year'F-Note
0.12%
0.12%
0.10%
2 Year T -Note
0.36%
0,38%
0,39%
5 Year T -Note
1.51 %
1.61 %
1.59%
Detail of Amortized Cost Basis Return
Total Portfolio
Interest
Accretion
Realized
Total
Accretion (Amortization)
Earned
(Amortization)
Gain (Loss)
Income
Current Holdings
Total Income on Portfolio
15,43100
9,520.27
Average Daily Historical Cost
Cash and Equivalents
5,912.73
0.00
0.00
5,912.73
U.S. Instrumentality
2,195.85
(460.21)
0.00
1.735.64
Corporate
11395.93
(1,037.33)
0.00
358.50
Municipal
7,426.13
0.00
0.00
7,426.13
Total
16,930.54
(11497.54)
0.00
159433.00
Summary of Amortized Cost Basis Return for the Period
Total Portfolio
Excl. Cash Eq.
Interest Earned
16,930.54
11,017.81
Accretion (Amortization)
(1,497.54)
(1,497.54)
Realized Gain (Loss) on Sales
0.00
0.00
Total Income on Portfolio
15,43100
9,520.27
Average Daily Historical Cost
35,775,923,38
5,241,891.11
Annualized Return
0.51%
2.14%
Annualized Return Net of Fees
0A8%
1,91%
Annualized Return Year to Date Net of Fees
0.62%
2,40%
Weighted Average Effective Maturity in Days
394
2,684
Amortized Cost Summary - Page I Cutwater Asset Management
San Rafael
Activity and Performance Summary
for the period May 1, 2014 - May 31, 2014
Fair Value Basis Activit v Summary
Beginning Fair Value 35,774,822.27
Additions
Contributions 1,000.00
Interest Received 0.00
Accrued Interest Sold 0.00
Total Additions 1,000.00
Deductions
Withdrawals 0.00
Fees Paid 1,000.00
Accrued Interest Purchased 0.00
Total Deductions (11000.00)
Change in Fair Value for the Period 7,670.50
Ending Fair Value 35,7821492.77
Annualized Comparative Rates of Return
Detail of Fair Value Basis Return
Total Portfolio
Twelve
Six
Change in
Total
Month Trailing
Month Trailing
One Month
Fed Funds
0,08 %
0.08%
0.09%
Overnight Repo
0.05%
0.05%
0.06%
3 Month T -rill
0,09%
0.10%
0.02%
6 Month T -Bill
0.15%
0.19%
0.08%
1 Year T -Note
0.30%
0.34%
0.12%
BAML 1-3 Yr Tsy Index
0.74%
0.64%
2.16%
BAML 1-5 Yr Tsy Index
0.86%
0.86%
4.74%
Summary of Fair Value Basis Return for the Period
Detail of Fair Value Basis Return
Total Portfolio
Excl. Cash Eq.
Interest
Change in
Total
Change in Fair Value
Earned
Fair Value
Income
Current Holdings
181688.31
Average Daily Historical Cost
35,775,923.38
Cash and Equivalents
5,912.73
0.00
5,912.73
U.S. Instrumentality
2,195.85
7,397.00
9,592.85
Corporate
1,395.83
273.50
1,1669.33
Municipal
71426.13
0.00
7,426.13
Total
16,930.54
79670.50
24,601.04
Summary of Fair Value Basis Return for the Period
Total Portfolio
Excl. Cash Eq.
Interest Eanied
16,930.54
11,017,81
Change in Fair Value
7.670.50
7,670.50
Total Income on Portfolio
24,601.04
181688.31
Average Daily Historical Cost
35,775,923.38
5,241,891.11
Annualized Return
0.81%
4,20%
Annualized Return Net of Fees
0.78%
3.97%
Annualized Return Year to Date Net of Fees
0.73%
335%
Weighted Average Effective Maturity in Days
394
2,684
Fair Value Summary -Page 1 Cutwater Asset Management
San Rafael
Recap of Securities Held
May 31, 2014
Holdings Recap - Page 1 Cutwater Asset Management
Historical
Cost
Amortized
Cost
Fair Value
Unrealized
Gain
(Loss)
Weighted
Average
Final
Maturity (Days)
Weighted
Average
Effective
Maturity (Days)
%
Portfolio/
Segment
Weighted
Average
Yield *
Weighted
Average
Market
Duration (Years)
Cash and Equivalents
30,534,03127
30,534,032.27
30,534,03127
0.00
1
1
85.35
0.23
0.00
U.S. Instrumentality
3,013,095.00
3,012,119.72
3,021,975.50
9,855.78
925
759
8.42
0,78
2.05
Corporate
530,685.00
529,078.81
529,085,00
6.19
870
870
1.48
0,87
2.29
Municipal
1,697,400.00
1,697,400.00
1,697,400.00
0.00
6,669
6,669
4.74
5.25
0.00
Total
351775,212.27
3597729630.80
35,7829492.77
99861.97
408
394
100.00
0.52
0.21
* Weighted Average Yield is calculated
on a "yield to worst" basis.
Holdings Recap - Page 1 Cutwater Asset Management
Portfolio Segment Diversification
Cash and Equivalents
85.3%
U.S. Instrumentality
8.4%
Corporate
1.5%
tt Municipal
4.7%
Total:
100.0%
Holdings Recap - Page 1 Cutwater Asset Management
San Rafael
Maturity Distribution of Securities Held
May 31, 2014
Maturity
Historical Cost
Percent
Under 90 Days
31,033,78127
86.75%
90 To 180 Days
0.00
0.00%
ISO Days to I Year
0.00
0.00%
I To 2 Years
0.00
0.00 %
2 To 3 Years
3,044,030.00
8.51 %
3 To 4 Years
0.00
0.00%
4 To 5 Years
0.00
0.00%
Over 5 Years
L697,400.00
4.74%
35,775,212.27
100.00%
Maturity Distribution
CPti
A
x7j,
CP
N
ico
S�Azl(NN
t � AZ
A10 A-10 /\0
q, �
Holdings Distribution - Page 1 Cutwater Asset Management
San Rafael
Securities Held
May 31, 2014
Historical Cost/ Amortized Cost/ Fair Value/ Unrealized Total %
CUSIP/ Purchase Rate/ Maturity/ Par Value/ Accrued Interest Accretion Change In Fair Gain Interest Interest Accured. Port
Description Date Coupon Call Date Shares Purchased (Amortization) Value (Loss) Received Earned Interest Cost Yield
Cash and
t.., 1F 0531/14 0.228V 30,534,032.27 30,534,032.27 30,534,032.27 30,534,032.27 0.00 0.00 5,912.73 11,879,83 85.35 0.23
OM OM 0.00
TOTAL (Cash and Equivalents) 30,534,032.27 30,534,032,27 30,534,032.27 30,534,032.27 OM OM 5,912.73 11,979.93 95,35
0.00 OM 0.00
U.S. Instrumentality
3133EDDP4
03/17/14
0520
06/17/16
50000.00
500,670.00
500,608.13
501,206.00
597.87
0.00
216.67
967.78
1.40
0.46
FFCB
433,33
(25.24)
1,273,00
3135GOCM3
03/28/14
1.250
09/2-8/16
1,000,000.00
1,014,450.00
1,013,423.50
1,017,423.00
3,999�50
OM
1,041.67
2,187.50
184
0.67
FNMA
0.00
(489,56)
2,331.00
3137 DCO
03/28/14
1,000
03/08/17
500,000.00
501,500.00
501,40939
503,32150
1,91111
0.00
416.67
1,152.78
1.40
0.90
277.78
(43.21)
1,238,00
3130AIDBI Call
04/03/14
0.500V
04/0.4/17
500,000.00
499,750M
499,763.46
500,161.00
39T54
0.00
208.34
402.78
1.40
1.01
07/03/14
0.00
7.07
108.00
3135G0ZB2
03/28/14
0.750
04/20/17
500', 000.00
496,725.00
496,91524
499,863.00
2,94T76
0.00
312.50
427.08
1.39
0.97
FNMA
OM
90,73
2,447.00
TOTAL (U.S. Instrumentality) 3,000,000.00 3,013,095.00 3,012,119.72 3,021,975,50 9,855,79 OM 2,195.85 5,137.92 9.42
711.11 (460.21) 7,397.00
Corporate
36962G5H3 04/14/14 3350 10/17/16 500,000.00 530,685.00 529,078.81 529,085.00 6.19 0.00 1,395.83 2,047.22 1.48 0.87
OE Capital OM (1,03733) 27150
TOTAL (Corporate) 500,000.00 530,685,00 529,078.81 529,085.00 6.19 0.00 1,395.83 21,047.22 1.48
0.00 (1,037.33) 27150
unci al
Pt. San Pedro Assess 03/01/14 5.250 09/02/32 1,697,400A 1,697,400.00 1,697,400.00 1,697,400.00 0.00 0.00 7,426.13 22,030,84 4.74 5.25
0.00 0.00 0.00
[RAL, (Municipal) 11,697,400,00 1,697,400.00 11,6971400,00 1,697,400.00 OM OM 7,426.13 22,030,84 4.74
0.00 0.00 0.00
Holdings - Page 1 Cutwater Asset Management
San Rafael
Securities Held
May 31, 2014
GRAND TOTAL 35,7319432.27 35,775,212.27 35,772,630.80 35,782,492.77 9,861.97 0.00 16,930.54 41,095.81 100.00
711.11 (1,497.54) 7,670.50
V -- variable rate, current rate shown, average rate for Cash & Equivalents
�R)
Holdings - Page 2 Cutwater Asset Management
San Rafael
GASB 40 - Deposit and Investment Risk Disclosure
May 31, 2014
Maturity S&P Moody Par Value Historical % Portfolio Market % Portfolio Weighted Avg
CUSIP Type Coupon Date Call Date Rating Rating Shares Cost Hist Cost Value Mkt Value Mkt Dur (Yrs)
(",'ash and Equivalents U28 01/30/3100 NR NR 30,534,03127 30,534,03-2.27 8535 30,534,032.27 85.33 0.00
IISSER TOTAL 30,534,032.27 30,534,032.27 8535 30 534 032.27 85.33 0.00
EIJs",
Pt. San Pedro Assess District
Municipal 5.250 09/02/2032 1,697,400,00 1,697,400.00 4.74 1,697,400.00 4.74 OM
ISSUER TOTAL 1,697,400.00 1,697,400,00 4.74 1,697,400,00 4.74 OM
FNMA
3135GOCM3 U.S, Instrumentality 1.250 09/28/2016
AA+ Aaa 1,000,000m
1,014,450.00
184
1,017,423.00
184
129
3135(;OZB2 tjS. Instrumentality 0.750 04/20/2017
AA -4- Aaa 500,000.00
496,725.00
1.39
499,863.00
1.40
185
ISSUERTOTAL
1,500,000.00
1,511,175.00
4.22
1,517,286.00
4,24
2,48
J=
3696265113 Corporates 3,350 10/17/2016 AA+ Al 500,000.00 5301,685,00 1.49 529,085,00 1.49 2,29
ISSUER TOTAL 500,000.00 530,685.00 1.48 529,085,00 1.49 129
FIRMC
3137FADCO t,.I,S. Instrumentality I.000 03/08/2017 AA+ Aaa 500,000.00 501,500.00 1.40 503,322.50 1.41 2.72
ISSUJFR J'OTAl.,, 500,000.00 501,500.00 1.40 503,322,50 1.41 2,72
I{ FCB
3133EDDP4 t,,J.S. Instrumentality 0,520 06/17/2016 AA4- Aaa 500,000.00 500,670.00 1.40 501,206.00 1.40 2,03
ISSUER TOTAL 500,000.00 500,670.00 1.40 501,206,00 1.40 2.03
FHLB
3130AIDBI U.S. Instrumentality 0.500 04/03/2017 07/03/2014 AA-+- Aaa 500,000.00 499,750.00 1.40 500,161.00 1.40 0,09
ISSUERTOTAL 500,000.00 499,750.00 1.40 500,161.00 1.40 0,09
GASB 40 - Page 1 Cutwater Asset Management
San Rafael
GASB 40 - Deposit and Investment Risk Disclosure
May 31, 2014
GRAND TOTAL 35,731,432.27 35,775,212.27 100.00 35,782,492.77 100.00 0.21
Highlighted totals are issuers representing 5,00% or more of the portfolio's market value
GASB 40 - Page 2 Cutwater Asset Management
San Rafael
Securities Purchased
May 1, 2014 - May 31, 2014
NOTE: There is no activity for the period.
Purchases - Page 1 Cutwater Asset Management
San Rafael
Securities Sold and Matured
May 1, 2014 - May 31, 2014
--------------------------------------------
NOTE: There is no activity for the period.
m ........................ m ..................
Sales - Page 1 Cutwater Asset Management
San Rafael
Transaction Report
for the period May 1, 2014 - May 31, 2014
NOTE: There is no activity for the period.
Transactions - Page 1 Cutwater Asset Management
San Rafael
Securities Bid and Offer
for the period 5/1/2014 - 5/31/2014
Trans Settle Description Call Date Broker Par Value Discount Price YTM/YTC Competitive Bids
(Rnc�k FIa(�,jr, 14) Securites Bid and Offer - Page I Cutwater Asset Management
San Rafael
Upcoming Cash Activity
for the next 45 days
--------------------------------------------------
NOTE: There is no activity for the period.
............... m .......... m ...... m ----- m ..........
Upcoming Cash Activity - Page 1 Cutwater Asset Management
For any questions concerning this report please contact accounting either by phone or email to cam reports &cutwater. com.
16)
New York Office
Colorado Office
113 King Street
1331 17th Street, Suite 602
Armonk, NY 10504
Denver, CO 80202
Tel: 866 766 3030
Tel: 303 860 1100
CUTWATER
Fax: 914 765 3030
Fax: 303 860 0016
AssE,"'T MANAGEMENT
For any questions concerning this report please contact accounting either by phone or email to cam reports &cutwater. com.
16)
CUTWATER
As ET M A NAC; E M E NT
OBOINJAMAU
Report for the period April 1, 2014 - April 30, 2014
=- .ii 1111198=0jolifas 0 •
( This report was prepared on May 13, 2014 )
.1
Cutwater Asset Managernem
1331 17th Street, Suite 602
Denver, CO 80202
Tel: 303 :•1 1100
Fax: 303 :•i 0016
Fixed Income Market Review
April 30, 2014
Labor Force Participation Rate
04/01/04-04/04/14
Chart 1
Treasury Yield Curves
03/31/14-04/30/14
Economic Indicators & Monetary Policy — The initial read of the first quarter
2014 Gross Domestic Product (GDP) was released in April. The economy grew
at a disappointing 0.1 percent, compared to expectations for growth of 1.2
percent and fourth quarter growth of 2.6 percent.
The lower than expected GDP was due to the harsh winter witnessed this year,
as well as the inventory cycle. Record snowfall and low temperatures reduced
consumption throughout the country, and strong growth in the fall may have
reduced activity in the first quarter. Exports also dropped in the first quarter,
adding to the strain on the economy. The GDP number will be revised twice as
more data becomes available, with the final release at the end of June.
While the first quarter GDP number was weak, retail sales, manufacturing, and
employment all showed gains towards the end of the quarter. Non-farm
payrolls increased, with 192,000 new jobs reported in April. In addition, the
March number was revised up to 197,000 jobs added from the initial report of
175,000.
The unemployment rate remained at 6.7 percent in April, while the
underemployment rate increased to 12.7 percent from 12.6 percent. The labor
market participation rate remains near 40 year lows. (See Chart 1)
The Producer Price Index (PPI) increased to 1.4 percent year -over -year in April
and the Consumer Price Index (CPI) increased to 1.5 percent for the same
period. While these inflation measures did increase, both remain below the two
percent longer-term inflation target for the Federal Open Market Committee
(FOMC).
The FOMC continued to taper the asset purchase program at the April 30
meeting, reducing the monthly asset purchases by the expected amount of $10
billion. Beginning in May, the FOMC will purchase $45 billion per month of
U.S. Treasury securities and agency mortgage-backed securities. If the FOMC
continues to taper at the current rate, the asset purchases would end later this
year. The FOMC also reiterated that it will "keep the benchmark interest rate
near zero for a considerable time after bond purchases end." 1
Yield Curve & Spreads - At the end of April, the 3 -month Treasury bill
yielded 0.03 percent, the 6 -month Treasury bill yielded 0.05 percent, the 2 -year
Treasury note yielded 0.41 percent, the 5 -year Treasury note yielded 1.66
percent, the 10 -year Treasury note yielded 2.63 percent, and the 30 -year
Treasury yielded 3.45 percent. (See Chart 2)
Charts sourced from Bloomberg Finance LP Cutwater Asset Management
Additional Information
April 30, 2014
The opinions expressed above are those of Cutwater Asset Management and are subject to change without notice. All statistics represent month-end figures
unless otherwise noted.
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
113 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. advi,serinfo. see. ov/.
1 "Fed Says Economy Has Picked Up as It Cuts Bond Buys Further." Bloomberg Finance LP. April 30, 2014
Cutwater Asset Management
San Rafael
Activity and Performance Summary
for the period April 1, 2014 - April 30, 2014
Amortized Cost Basis Activit v Summary
Beginning Amortized Cost Value
Twelve
34,727,361.87
Additions
Total
Month Trailing
Contributions
1,030,272.49
0.09%
Interest Received
26,137.82
Overnight Repo
Accrued Interest Sold
0.00
0.06%
Gain on Sales
0.00
0.04%
Total Additions
6 Month T-bill
1,056,410.31
Deductions
0.04%
1 Year T -Note
Withdrawals
0.00
0.11%
Fees Paid
393.74
0.36%
Accrued Interest Purchased
8,235.42
1.45%
Loss on Sales
0.00
Total
Total Deductions
(1,014.68)
(81629.16)
Accretion (Amortization) for the Period
(1,014.68)
Ending Amortized Cost Value
35,774,128.34
Ending Fair Value
35,774,822.27
Unrealized Gain (Loss)
693.93
Annualized ComDarative Rates of Return
Total Portfolio Excl. Cash Eq.
Twelve
Six
Realized
Total
Month Trailing
Month Trailing For the Month
Fed Funds
0.09%
0.08%
0.09%
Overnight Repo
0.05%
0.06%
0.06%
3 Month T -Bill
0.04%
0.04%
0.02%
6 Month T-bill
0.06%
0.06%
0.04%
1 Year T -Note
0.12%
0.12%
0.11%
2 Year T -Note
0.35%
0.36%
0.42%
5 Year T -Note
1.45%
1.58%
1.700/0
Detail of Amortized Cost Basis Return
Total Portfolio Excl. Cash Eq.
Interest
Accretion
Realized
Total
(1,014.68)
Earned
(Amortization)
Gain (Loss)
Income
Current Holdings
26,553.30
9,384.35
Average Daily Historical Cost
35,505,490.64
Cash and Equivalents
17,168.95
0.00
0.00
17,168.95
U.S. Instrumentality
2,181.94
(445.82)
0.00
1,736.12
Corporate
790.97
(568.86)
0.00
222.11
Municipal
7,426.12
0.00
0.00
7,426.12
Total
27,567.98
(1,014.68)
0.00
26,553.30
Summary of Amortized Cost Basis Return for the Period
Total Portfolio Excl. Cash Eq.
Interest Earned
27,567.98
10,399.03
Accretion (Amortization)
(1,014.68)
(1,014.68)
Realized Gain (Loss) on Sales
0.00
0.00
Total Income on Portfolio
26,553.30
9,384.35
Average Daily Historical Cost
35,505,490.64
4,979,553.24
Annualized Return .
0.91%
2.29%
Annualized Return Net of Fees
0.90%
2.20%
Annualized Return Year to Date Net of Fees
0,70%
2.76%
Weighted Average Effective Maturity in Days
399
2,715
Amortized Cost Summary - Page 1 Cutwater Asset Management
San Rafael
Activity and Performance Summary
for the period April 1, 2014 - April 30, 2014
Fair Value Basis Activit y Summary
Beginning Fair Value 34,725,701.12
Additions
Contributions 1,030,272.49
Interest Received 26, 137.82
Accrued Interest Sold 0.00
Total Additions 1,056,410.31
Deductions
Withdrawals 0.00
Fees Paid 393.74
Accrued Interest Purchased 8,235.42
Total Deductions (8,629.16)
Change in Fair Value for the Period 1,340.00
Ending Fair Value 35,774,822.27
Annualized Comparative Rates of Return
Detail of Fair Value Basis Return
Twelve
Six
Change in
Total
Month Trailing
Month Trailing For the Month
Fed Funds
0.09%
0.08%
0.09%
Overnight Repo
0.05%
0.06%
0.06%
3 Month T -Bill
0.09%
0.11%
0.07%
6 Month T -Bill
0.16%
0.18%
0.19%
1 Year T --Note
0.29%
0.34%
0.49%
2 Year T -Note
0.43%
0.62%
1.60%
5 Year T -Note
-2.05%
-0.56%
5.77%
Summary of Fair Value Basis Return for the Period
Detail of Fair Value Basis Return
Total Portfolio Excl.
Interest
Change in
Total
10,399.03
Earned
Fair Value
Income
Current Holdings
28,907.98
11,739.03
Average Daily Historical Cost
Cash and Equivalents
17,168.95
0.00
17,168.95
U.S. Instrumentality
2,181.94
3,213.50
5,395.44
Corporate
790.97
(1,873.50)
(1,082.53)
Municipal
7,426.12
0.00
7,426.12
Total
279567.98
19340.00
28,907.98
Summary of Fair Value Basis Return for the Period
Total Portfolio Excl.
Cash Eq.
Interest Earned
27,567.98
10,399.03
Change in Fair Value
1.340.00
1,340.00
Total Income on Portfolio
28,907.98
11,739.03
Average Daily Historical Cost
35,505,490.64 4,979,553.24
Annualized Return
0.99%
2.87%
Annualized Return Net of Fees
0.98%
2.77%
Annualized Return Year to Date Net of Fees
0.71%
2.88%
Weighted Average Effective Maturity in Days
399
2,715
Fair Value Summary - Page 1 Cutwater Asset Management
San Rafael
Recap of Securities Held
April 30, 2014
Holdings Recap - Page 1 Cutwater Asset Management
Historical
Cost
Amortized
Cost
Fair Value
Unrealized
Gain
(Loss)
Weighted
Average
Final
Maturity (Days)
Weighted
Average
Effective
Maturity (Days)
%
Portfolio/
Segment
Weighted
Average
Yield *
Weighted
Average
Market
Duration (Years)
Cash and Equivalents
30,534,032.27
30,534,032.27
30,534,032.27
0.00
1
1
85.35
0.23
0.00
U.S. Instrumentality
3,013,095.00
3,012,579.93
3,014,578.50
1,998.57
956
790
8.42
0.78
2.13
Corporate
530,685.00
530,116.14
528,811.50
(1,304.64)
901
901
1.48
0.87
2.37
Municipal,
1,697,400.00
1,697,400.00
1,697,400.00
0.00
6,700
6,700
4.74
5.25
7.58
Total
35,7759212.27
3597749128.34
35,774,822.27
693.93
413
399
100.00
0.53
0.57
* Weighted Average Yield is calculated on a
"Yield to worst" basis.
Holdings Recap - Page 1 Cutwater Asset Management
Portfolio / Segment Diversification
Cash and Equivalents
85.3%
U.S. Instrumentality
8.4%
Corporate
1.5%
11111, Municipal
4.7%
Total:
100.0%
Holdings Recap - Page 1 Cutwater Asset Management
San Rafael
Maturity Distribution of Securities Held
April 30, 2014
Maturity
Historical Cost
Percent
Under 90 Days
31,033,782.27
86.75%
90 To 180 Days
0.00
0.00%
180 Days to I Year
0.00
0.00%
I To 2 Years
0.00
0.00%
2 To 3 Years
3,044,030.00
8.51 %
3 To 4 Years
0.00
0.00%
4 To 5 Years
0.00
0.00%
Over 5 Years
1,697,400.00
4.74%
3597759212.27
100.00%
961USES
A
Maturity Distribution
0
0
11�
0
e
A.,
�
11V
'110�
!V*
A.0
/\O
1�10
N
A10
lb
tK
Holdings Distribution - Page I
Cutwater Asset Management
San Rafael
Securities Held
April 30, 2014
Historical Cost/ Amortized Cost/ Fair Value/ Unrealized Total %
CUSIP/ Purchase Rate/ Maturity/ Par Value/ Accrued Interest Accretion Change In Fair Gain Interest Interest Accured Port
Description Date Coupon Call Date Shares Purchased (Amortization) Value (Loss) Received Earned Interest Cost Yield
Cath ajWEquLv lents
-1 - -4--
TATF 04/30/14 0.233V30,534,032.27 30,534,032.27 30,534,032.27 30,534,032.27 0.00 17,346.15 17,168.95 5,967.10 85.35 0.23
0.00 0.00 0.00
TOTAL (Cash and Equivalents) 30,534,032.27 30,534,032.27 30,534,032.27 30,534,032.27 0,00 17,346.15 17,168.95 5,967.10 85.35
0.00 0.00 0.00
U..,S,, InstTum qt "Jit
-t
3133ELOP4
03/17/14
0.520
06/17/16
500,000.00
500,670.00
500,633.37
499,933.00
(700.37)
0.00
216.67
751.11
1.40
0.46
1- R'13
433.33
(24.42)
453.50
313500CM3
03/28/14,
1-250
09/28/16
1,000,000.00
1,014,450.00
1,013,913.06
1,015,092.00
1,178.94
0.00
1,041.66
1,145.83
2.84
0.67
FNMA
0.00
(473.77)
950.00
.13E C'0
03/28/14
1..00)
03/08/17
500,000.00
501,500.00
501,452.60
502,084.50
631.90
0.00
416.67
736.11
1.40
0-90
MAC
277.78
(41.82)
781.00
3130A, I DB I Call04/03/14
0.500V
04/03/17
500,000.00
499,750.00
499,756.39
500,053.00
296.61
0.00
194.44
194.44
1.40
1.01
1rt111-B
07/03/14
0.00
6.39
303.00
3135607B2
03/28/14
0350
04/20/17
500,000.00
496,725.00
496,824.51
497,416.00
591.49
416.67
312.50
114.58
1.39
0.97
FNMA
0.00
87.80
726.00
-FOTAL (U.S. Instrumentality) 3,000,000.00 3,013,095.00 3,012,579.93 3,014,578,50 1,998.57 416.67 2,181.94 2,942.07 8.42
711.11 (445.82) 3,213.50
36962G5H3 04/14/14 3.350 10/17/16 500,000.00 530,685.00 530,116.14 528,811.50 (1,304.64) 8,375.00 790.97 651.39 1.48 0.87
GE Capital 0.00 (568.86) (1,873.50)
TOTAL (Corporate) 500,000.00 530,685.00 530,116.14 528,811.50 (1,304.64) 8,375.00 790.97 651.39 1.48
0.00 (568.86) (1,873.50)
Mun
--h-10-dPW1
pt
I
03/01/14 5.250 09/02/32 1,697,400.00 1,697,400.00 1,697,400.00 1,697,400.00 0.00 0.00 7,426.12 14,604.71 4.74 5.25
0.00 0.00 0.00
1,697,400.00 1,697,400.00 1,697,400.00 1,697,400.00 0.00 0.00 7,426.12 14,604.71 4.74
0.00 0.00 0.00 1
Holdings - Page 1 Cutwater Asset Management
San Rafael
Securities Held
April 30, 2014
----------------- -------------------------------
-----------------------------------------------------------------------------------------------------
GRAND TOTAL 35J31,432.27 359775,212.27 35,774,128.34 35,774,822.27 693.93 269137.82 27,567.98 24,165.27 100.00
V = variable rate, current rate shown, average rate for Cash & Equivalents
711.11 (1,014.68) 1,340.00
Holdings - Page 2 Cutwater Asset Management
San Rafael
GASB 40 - Deposit and Investment Risk Disclosure
April 30, 2014
Maturity S&P Moody Par Value 1 Historical % Portfolio Market % Portfolio Weighted Avg
CUSIP Type Coupon Date Call Date Rating Rating Shares Cost Hist Cost Value Mkt Value Mkt Dur (Yrs)
Cash and Equivalents 0.233 01/30/3100 NR NR 30,534,032.27 30,534,032.27 85.35 30,534,032.27 85.35 0.00
ISSUER TOTAL 30,534,032.27 30,534,032.27 85.35 30,534,032.27 85.35 0.00
ESSUI
r( -. Son -Pe*q ) "ssgss j)Listrict
q
Municipal 5,250 09/02/2032 1,697,400.00 1,697,400.00 4.74 1,697,400.00 4.74 7.58
1
ISSUER. TOTAL 1,697,400,00 1,697,400.00 4.74 1,697,400.00 4.74 7,58
FNMA
3135GOCM3 U.S. Instrumentality
1.250 09/28/2016 AA+ Aaa 1,00(),00().()()
1,014,450.00
2.84
1,015,092.00
184
2.37
3135GOZB2 U.S. Instrumentality
0,750 04/20/2017 AA+ Aaa 500,000.00
496,725.00
1.39
497,416,00
1.39
2.93
ISSUER TOTAI.,
1,500,000.00
1,511,175.00
4.22
1,512,508.00
4,23
2.56
GLE-CA.0-al
36962G5H3 Corporate
3.350 10/17/2016 AA+ Al 500,000.00
530,685.00
1.48
528,811.50
1.48
2.37
ISSUER TOTAL,
500,000.00
530,685.00
1.48
528,811.50
1-48
2.371
uunm
3137FADCO U.S. Instrumentality 1.000 03/08/2017 AA+ Aaa 500,000.00 501,500.00 1.40 502,084.50 1.40 2.81
E! ISSUE
R TOTAL 500,000.00 501,500.00 1.40 502,084.50 1.40 2.81,
FHLB
3130A I DB I U.S. Instrun-ientality 0,500 04/03/2017 07/03/2014 AA+ Aaa 500,000.00 499,750.00 1.40 500,053.00 1.40 0.17
1 ISSUER U 1R TOTAL 500,000M 499,750.00 1.40 500,053.00 1.40 0.17 :1
FECIR
3133EDI)P4 U.S, Instrumentality 0.520 06/17/2016 AA+ Aaa 500,000.00 500,670.00 1.40 499,933.00 1.40 2.11
ISSUER TOTAL, 500,000.00 500,670.00 1.40 499,933,00 1.40 2.11
GASB 40 - Page I Cutwater Asset Management
San Rafael
GASB 40 - Deposit and Investment Risk Disclosure
------------------------------------------------------------------------ April 30, 2014
GR ND TOTAL 35,731,432.27 35,775,212.27 100.00 35,774,822.27 100.00 0.57
Highlighted totals are issuers representing 5.00% or more of the portfolio's market value
GASB 40 - Page 2 Cutwater Asset Management
San Rafael
Securities Purchased
April 1, 2014 - April 30, 2014
Purchase Maturity/ Par Value/ Principal Accrued
CUSIP/ Description Date Rate/Coupon Call Date Shares Unit Cost Cost Interest Purchased Yield
Cash ##4jq#jy#Igjjts
LAIF 04/15/2014 0.233V 17,346,15 100.000 17,346.15 0.00 0.23
ETOTAL (Cash and Equivalents) 17,346.15 17,346.15 0.00
U.S. bis
4—rq-n—w-QWWty
3130A I DB I Call 04/03/2014 0.500V 04/03/2017 500,000.00 99.950 499,750.44 0.00 1.01
FHLB 07/03/2014
TOTAL (U.S. Instrumentality) 500,000.44 499,750.00 0.00
C-Oxorate
36962G5H3 04/14/2014 3.350 10/17/2016 500,000.00 106.137 530,685.00 8,235.42 0.87
GE Capital
['TC:i'TAL (Corporate) 500,000.00 530,685.00 8,235.42
.......... .......... w ........................................................... m ..............................................................
GRAND TOTAL 1,017,346.15 1,047,781.15 8,235.42
V = variable rate, current rate shown, average rate for Cash & Equivalents
Purchases - Page 1 Cutwater Asset Management
San Rafael
Securities Sold and Matured
April 1, 2014 - April 30, 2014
--------------------------------------------
NOTE: There is no activity for the period.
..................... m --- m .......... m ..... m ....
Sales - Page 1. Cutwater Asset Management
San Rafael
Transaction Report
for the period April 1, 2014 - April 30, 2014
Date CUSIP Transaction See Type Description Maturity PAR Value/Shares Principal Interest Transaction Total Balance
04/03/2014
3130A1 DB I
Bought
INS
FHLB
04/03/2017
500,000.00
499,750.00
04/14/2014
36962G5113
Bought
COR
GE Capital
10/17/2016
500,000.00
530,685.00
04/15/2014
(1,029,878.75)
Interest
CE
LAW
30,516,686.12
0.00
04/15/2014
Bought
CE
LAW
17,346.15
17,346.15
04/17/2014
36962G51-13
Interest
COR
GE Capital
10/17/2016
500,000.00
0.00
04/20/2014
3135GOZB2
Interest
INS
FNMA
04/20/2017
500,000.00
0.00
Net Contributions: 1,030,272.49 Fees Charged: 393.741
Net Withdrawls: 0.001 1 Fees Paid: 393.741
0.00
(499,750.00)
(499,750.00)
8,235.42
(538,920.42)
(1,038,670.42)
17,346.15
17,346.15
(1,021,324.27)
0.00
(17,346.15)
(1,038,670.42)
8,375.00
8,375.00
(1,030,295.42)
416.67
416.67
(1,029,878.75)
Portfolio Activity Total (11029,878.75)
Transactions - Page 1 Cutwater Asset Management
San Rafael
Securities Bid and Offer
for the period 4/1/2014 - 4/30/2014
Trans Settle Description Call Date Broker Par Value Discount Price YTM/YTC Competitive Bids
BUY 04/03/2014 FHLB .5 04/03/2017 07/03/14 WELLS 500,000 99.950 .55% MS - .505 FNMA 4/2015 @ .20%
JPM -.375% FNMA 3/2015 @. 18%
BUY 04/14/2014 GE 3.35 10/17/2016 RBC 500,000 106.137 .87% MS - TOYOTA 9/2016 @.55%
WSF - DE 9/2016 @ .67%
Securites Bid and Offer - Page 1 Cutwater Asset Management
San Rafael
Upcoming Cash Activity
for the next 45 days
..................................................
NOTE: There is no activity for the period,
............... m ............... m ..............
Upcoming Cash Activity - Page I Cutwater Asset Management
CUTWATER
A
cap
Colorado Office
1331 17th Street, Suite 602
Denver, CO 80202
Tel: 303 860 1100
Fax: 303 860 0016
i -or any questions concerning this report please contact accounting either by phone or email to gam repo rtsacutwater.com.