2020-09-15 CC Agenda Packet - ITEM #D8 - PRESENTATION - Investment PortfolioR SEGUNK
•IM LG RP9 RRI E0 Ilfl•
City of EI Segundo
Investment Portfolio Report
June, 2020
Presented By:
City Treasurer's Office
September 15th, 2020
$40,000,000
c�
$20,000,000
$0 $501,327
$40,000,000
m
n
Y
`m $20,000,000
$0 $501 327
40.00%
r
20.00%
0.00% 0.45%
2.00%
U
r
1.00%
0.00% 0-00%
3
Portfolio Summary
Portfolio f SecurityT•�pe
Liquidity
$43,769,897
$G,028,070
$1,773,971
6 0$1,773,971
$43,769,897
$6,028,070
M�_j $1,773,971
3926%
5.41%
0�_j 1.59%
Reserve
$23,657,268
$16,841,675
$8'b_ 02,918 $6,453,622
$62,820 $84,284 E$1,744,961
$62,820 $84,284
o.Ds% 0.08%
1.72% 1.72% 1.72%
0.45°% 0.5146
1
0 0.000 0.000 0.000 0.000 0.000 0.000
Trust Acct. Cash Cham Bank- LAIFlmmediate LAIFSr.Housing LAIF -LAWA CAMP-JPAP
Cash
$24,641787
$17,248,595
OU $8,969,36❑ $6,515,874
$1,781,663
22.10%
15.47%
0$- w 5.93%
16040
7.50%
2.73% 207 2.18%
.46 1.9746
lag
3.738
2.529
2.296 2.299
1.140
s I M
CD's Corp. Bonds Govennment Municipal Bonds SLIPRA's
Measure Names
Cost
Marketvalue
%of Total
WAM
%Yield
Description
$1,000,000
$800,000
'c
E
FULLCALL $600,000
a
a $400,000
$200,000
$D
$6,000,000
$5,000,000
$4,000,000
'c
E
a
MATURED m $3,000,000
a
a` $2,000,000
$1,000,000
$D
$500,000
$400,000
'c
E
a $300,000
INTEREST
L
a $200,000
$100,000
$D
nterest Received
Transaction Date
42
$1,0oo,000
$2,178,000
$500,000
$201,389
$103,946
April May
$2,735,000
$208,520
June
Grand Tata I
$1,000,000
$5,413,000
$513,85S
Total
Description
FULL CALL
MATURED
INTEREST
Compliance
Partial List of Allowable Investment Instruments for Local Agencies
Maximum Minimum Quality City of EI Segundo In
Investment Type Maximum Maturity Specified /o of Requirements Investments Compliance
Portfolio Y/N
Local Agency 5 years 10% None 5.93% Y
Bonds
U. S Treasury 5 years None None 0.00% Y
Obligations
US Agency 5 years None None 15.47% Y
Obligations
Negotiable
Certificates of 5 years 30% None 22.10% Y
Deposit
Medium Term 5 years 15% "A" Rating 8.05% Y
Notes
Collateralized 5 years None None 0.00% Y
Bank Deposits
Local Agency
Investment Fund N/A None None 40.91% Y
(LAIF)
SUPRA Nationals 5 years 10% "A A A" Rating 1.60% Y
Commercial Paper 5 years 10% "A -1/A" Rating 0.00% Y
Joint Powers N/A 30% Multiple 0.08% Y
Authority Pool
City of EI Segundo - Treasury Department
Continuing Education Tracking - As of June 30, 2020
Requirement YTD Hours Excess/(Deficit) Notes
�reasurer 5.00 - (5.00)
Deputy City Treasurer II 5.00 6.00 1.00 CMTA/GIOA/GFOA Webinars
Deputy City Treasurer 1 5.00 15.00 10.00 CMTA/GIOA/GFOA+ Webinars
Additional Compliance
TOTAL
Ma>amum % of
Minimum Quality
S&P
City of EI
In Compliance
MIr,ommercialPaper
Investment Type
Issuer
Portfolio
Requirements
Rating
Segundo
Y/N
MARKET VALUE
,D'S
TOTAL
30%
Investments
Y
24,641,782
Medium Term Notes
TOTAL
15%
"A" Rating
8.05%
&
1 8,969,360
Medium Term Notes
AMAZON.COM
3%
"A" Rating
AA-
0.47%
Y
523,410
Medium Term Notes
AMERICAN HONDA FINANCE
3%
"A" Rating
A
0.45%
Y
500.350
Medium Term Notes
APPLE INC
3%
"A" Rating
AA+
0.47%
Y
528.535
Medium Term Notes
BANK OF NEW YORK MELLON
3%
"A" Rating
A
0.46%
Y
507.625
Medium Term Notes
BERKSHIRE HATHAWAY
3%
"A" Rating
AA
0.48%
Y
529,520
Medium Term Notes
CATERPILLAR FINANCIAL SVCS
3%
"A" Rating
A
0.46%
Y
518.185
Medium Term Notes
COCA COLA CO.
3%
"A" Rating
A+
0.47%
Y
523.720
Medium Term Notes
ESTEE LAUDER CO INC
3%
"A" Rating
A+
0.47%
Y
526,530
Medium Term Notes
JOHNS HOPKINS HEALTH SYS
3%
"A" Rating
AA-
0.14%
Y
150.880
Medium Term Notes
NEW YORK LIFE GLOBAL
3%
"A" Rating
AA+
0.46%
Y
518,305
Medium Term Notes
ORACLE CORPORATION
3%
"A" Rating
A
0.93%
Y
1.031.370
Medium Term Notes
PACCAR FINANCIAL CORP
3%
"A" Rating
A+
0.46%
Y
511.520
Medium Term Notes
TOYOTA MOTOR CREDIT CORP
3%
"A" Rating
A+
0.47%
Y
521,560
Medium Term Notes
UNITED PARCEL SERVICE
3%
"A" Rating
A-
0.47%
Y
527.075
Medium Term Notes
WAL-MARTSTORES INC
3%
"A" Rating
AA
0.47%
Y
523,965
Medium Term Notes
WELLS FARGO & COMPANY
3%
"A" Rating
BBB+
0.92%
Y
1 n?6 sin.nnn
iupranationalObl.
TOTAL
10%
"AAA"Rating
1.60%
Y
1,781,663
Supranational Obl.
IADB-INTER-AMERICAN DEV BANK
5%
"AAA" Rating
AAA
1.15%
Y
1,280,283
Supranational Obl.
IBRD -INTERNATIONAL BANK FOR RECON &
DEV
5%
"AAA" Rating
AAA
0.45 %
Y
501,380
Municipal Bonds
TOTAL
I 10%
"A" Rating
I
5.930/6
I Y
6,615,874
Municipal Bonds
CONNECTICUT STATE
3%
"A" Rating
A
1.43%
Y
1.591.285
Municipal Bonds
GOODRICH MICH
3%
"A" Rating
AA
0.28%
Y
312,954
Municipal Bonds
HOUSTON, TX
3%
"A" Rating
AA
0.92%
Y
1.024.430
Municipal Bonds
LA QUINTA CA REDEV
3%
"A" Rating
AA-
0.93%
Y
1.036,740
Municipal Bonds
LAS VEGAS, NEV
3%
"A" Rating
AA
0.51%
Y
564.380
Municipal Bonds
NEW YORK, NY
3%
"A" Rating
AA
0.92%
Y
1.029.010
Municipal Bonds
OREGON ST DEPT ADMIN
3%
"A" Rating
AAA
0.47%
Y
524.405
Municipal Bonds
TULSA CNTY. OKLA INDP
3%
"A" Ratinq
AA
0.48%
Y
919 a7n
TOTAL
10%
"A -1/A" Rating
0.00%
Y
MIr,ommercialPaper
,ommercial Paper
3%
"A -1/A" Rating
A-1+
0.00%
Y
,D'S
TOTAL
30%
22.10%
Y
24,641,782
Joint Powers Auth. Pool
TOTAL
30%
0.08%
Y
84,284
JPAP
CAMP
30%
0.08%
Y
84,284
Investments by Security Type
Negotiable Certificates
$24,641,782
Municipal Bonds
$6,616,874
Medium Term 1
$$,969,361
LAIF-Se
$1,
Supranational Dhligations CAMP-JPAP Cash
$1,781,663 $84,284 $6,529,398
Ent
59S
Secu rity Type
CAMP-JPAP
Cash
Government
e LAIF-Immediate
LAIF-LAWA
LAIF- Sen ior Housing
Medium Term Notes
Municipal Bonds
Negotiable Certificates of Deposit
SupranationalObligations
Value
+ $111,477,643
$45,000,000
$40,000,004
$35,000,000
$30,000,300
$25,000,304
v
a
$20,000,300
$15,000,300
$10,o0a,300
$6,529,398
55,000,000
$43,769,897
Investments by Maturity Date
$5,261,021
$10,929,316
$p
$1,90,443
773,971
$62,820
$17_
$84,284
$19_ 95,370
$19_
mm
Cash&Cash
LAIF-Immediate LAIF-Senior LAIF-LAWA
CAMP-JPAP X30 Days
31 to 90 Days
91 to 180 Days
181 to 365 Days
Lto 2 Years
Equivalents
Housing
$16,141,714
$14,162,848
$7,035,856
2to3Years 3to 4 Years 4to 5 Years
$19,000,000
$18,000,000
$17,000,000
$16,000,000
$15,000,000
$14,000,000
$13,000,000
$12,000,000
$11,000,000
$10,000,000
0
E
$9,000,000
$8,000,000
$7,000,000
$6,000,000
$5,000,000
$4,000,000
$3,000,000
$2,000,000
$1,000,000
$0
Rolling 13 -Month Cash Flow Analysis
Date
$18,100,004
��J $5,889,498
$14,01
5,076
49,458
$7,680
June July August September October November December I Jani
2020
$18,086,752
Date
Last 16 months
Measure Names
Total Disbursements
Total Receipts
$10,000,000
$9,000,000
$8,000,000
$7,000,000
$6,000,000
$S,000,00D
$4,000,000
$3,000,000
$2,000,000
$1,000,000
$0
($1,00D,000)
($z.DOD.DDD)
[$z,Dt
($3,00D,000)
($4,000,000)
($5,000,000)
[$6,DDD,DDo)
($7,D0D,DDo)
($3,000,000)
($9,DDD,DDo)
($10,000,0..
Rolling 1 -3 -Month Net Change in Cash
$9,692,177
($9,780,664)
98,744
t,S29)
June" July August September Dctober November December January February March April May June
Measure Names
M 2017/2018
■ 2018/2019
M 2019/2020
LAI F
D9
is nostic
50
Dec 1, 19 tan 1, 20
19
Oct 1, 19
Nov i
6 Sep 1, 1-9
)u11.19 Au91.
tAeasure Names
■ Daly
QuartertoDate
is AverageMatu'i"
� Au91.20
7 Jul 1, 20
�vJun 1, 20
Feb 1, 20 Mar 1, 20 Apr 1, 20 May 1, 20
13
12
11
10
9
8
v 7
E
c
a
q b
5
4
3
7
1
0
LAI F Apportionment Rates
1979 1984 1989 3994 1999
Date
2004
2009 2014 2019
Measure Names
0 Apportionment
PMIA Portfolio Composition - 713112020
Total: $113.5 Billion
(chart dollars in millions)
$14,435
LAIF Details
■ Age n cies
51 0 Certificates of
De posh/Ban k N otes
■ Com me rcial Paper
■ Loans
■ Repurchases
■Time Deposits
$5,261 0%
5% ■ T reasu ries
PMIA MARKET VALUATION
� 103.5
103.0
1025 PMIA I
p foto Market Value J
m i0i.5
p 101.0
10M.
100.0 T
995 L
San
56.5 i
se:97.5
9119 12!19 3f19 &19 9f19 12M am Uf20
Average Monthly Yield Comparison - W2016 through 7/2020
3.00%
2.5046 —PMIA
2.0046 `ti — S&P GIP
•
1.5046—=--Fea Funis
1
1.0046
0.5046 �� 4 July YiNds
PMIA fl_92016
0 u'1 Q fa w ED Iti Iti P— Iti +'Q 174 w e4 0 Q7 im 0 5$P GIP 0.460%
r r r r rr r r q-Fod Fu reds 0.080%
O QQQ 4 4 O 4 4 O Q 4 O
O �J N N O N N N O N r*! N
r � r
Economic Environment
US Treasury Yield Curve
1.70
1.690
1.600
1.60
1.620
1.590 1 580
1.550
1.50
1.480-
1.510
140
130
120
1.10
1.00
u 0.90
r
0.80
0.70
0.60
0.50
0.40
0.370
0.290
0.30
0.230 D.280
a.za
o.lso
o lsD
0.100
0.130•
0.160 ��'O.140 0.160 0.160
0.10
0.140
0.090
0.030-
0.070
0.00
1 Mo
2 Mo
3W 6 Mo °Y- = Y- S
Fed sees interest rates near zero through 2022
Date
December31,2019
Apn 11, 2020
�
J-30,2020
10 -year Minus 3 -month Treasury Yield Spread
_902 _904 _90� _908 1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020 2022
Date
1s
14
13
12
11
10
9
I 2
u
d
a
7
6
S
4.40
4 4.000--- 380 3-70 3-70 3-60 3-60
3-80 3]0
3-60 3-60 3 -SO 3 -SO 3 -SO 3 -SO
3 2-48
2.29 2.32
2.04
2 1-88 199 183 1.52
1.50 1-81 168 174 1.72 176
1-49 0.71 1.03
1 0.38
4
0
Jan 1, 19 Mar 1, 19 May 1, 19 Jul 1, 19 Sep 1, 19 Nov 1, 19 Jan 1, 20 Mar1,20 May 1, 20 Jul 1, 20
Date
Unemployment vs Inflation
14-70
8-40
Date (FRED Graph)
I last 2 years
Measure Names
Inflation Rate
Unemployment Rate
Inflation Prediction
0
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016
Date
2017 2018 2019 2020 2021
Path Forward
D.9
2
w 03
cum
L
m 0.7
C6
D.s
LAIF
Latest Offerings
0 a 0 0
000 0 o a a
00 0 ov
0
cs
❑
O O
v
a
❑ °a a
a 0 0 O❑
Q
v 0
O 0 aa
O0()❑
0.4
O a v 0D0
0
v
0 v
% 0
❑ a
Q3
03
�l
a
@P %0
0 0
$ C
CD
CIJ
a❑0 O a
0
0 O❑
0 fl a
C6*c8
a ® 00 00
00
D2 0Ao,Juo a a � 0 a a v
oio0
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p 8*CP
a 0 00 v0
(6 a a 0 O
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p�,.7ao
p
00, 0�0 �'�]�b o
®
0
a
0.0 ❑ o
-02 0.0 02 0.4 0.6 0.3 1.0 12 1.4
1.6 1.8 2.0
29 _ , 2.6 2.8 3.0
3.2 3.4 3.6 3.8 4.0 42 4.4
4.6 4.8 5.0 5.2
Effective Duration
Category
MCD
Corp
GSE
LAIF
Supra
Taxable Muni
US Tsy
Non -Callable offerings
0.75
LAIF
0
0.70
0.65
0.66
4
a.ss
0
0.50
p
0.4s
O
m 0
0
CID
L
❑ %�
a 0.35
by
0 O
Q
4
p
❑ 0 O
0
OOD
0.30
O
$
0
0 ❑
❑
0O
4.25
O {D ❑ O Q
00
O 0
❑ O
CI*0
0.26
0
oe
a
0
CP 0 0 0 0
0
4.15
a
o o� � oo ❑
O ❑
OO
a�Q��()`-"0@ 0
O
0.10
O C)O CM04D OO
Q
(ID O CM
❑
6.4s
ca
❑ o 00 ,60 0
o o°
0 d
Q D 00
0
4.44
-0.2
0.0 02 0.4 0.6 0.8 1.0 1.2 1.4
1.6 1.8 2.0
22 2.4 2.6 2.8 3.0 32 3.4 3.6 3.8 4.0
4.2 4.4 4.6 4.8 5_0 5.2
Effective Duration
Category
CD
Carp
GSE
LAIF
Supra
Taxa Ne Muni
US Tsy
Reserve Portfolio Ladder by Quarter
2020 2021 2023 2024 2025
$18,000,030
m
m
O
$17,000,000
O
N
�D
rl
$16,004,044
M
$15,000,004
$14,000,004
CCL
co
co
$13,000,OOa
co
m
N
co
N
$12,000,004
n
$11,000,004
U $10,000,000
w
$9,004,O4a
0
00
$8,444,440
$7,004,004
QQ77
rl
L„
4
�
N
un
ru
m
$6,000,000
n
yr
ti
m
N
$s,000,03a
m
o
ti N
�
a
$4,444,440
M
"'
m
�
m
$3,004,004
n
M1
N
$2,044,
�
0
m
N
�
co
� N ri
�
$1,0441040
Ln
$4
o
a
a a
a
0
CY
0
0
0 0
0 0 0 CY 0 0
a
Quarter
M Q1
M Q2
M Q3
�Q4
Total
Notes
• Temporarily diverged from laddering out due
to the flattening of the yield curve
— No reason to take on duration risk if not
compensated to do so
• Potentially increase cash holding at Chase
when opportunistic