2020-11-03 CC Agenda Packet - Item #C8 - PRESENTATION - Investment Portfolio ReportCITY OF
ELSE GUNDO
City of EI Segundo
Investment Portfolio Report
September, 2020
Presented By:
City Treasurer's Office
November 3rd, 2020
Security Tvrne
Reserve Portfolio
Government
Municipal Bonds
Corp. Bonds
SUPRA's
CD's
Union Bank Trust
Liauiditv Portfolio
CAMP - JPAP
LAIF Immediate
LAIF Sr. Housing
LAIF - LAWA
LAIF Subtotal
Total Invested
Trust Acct. Cash
Chase Bank- Cash
Total Portfolio
September Portfolio Summary
Cost
11,091,675.17
6,453,621.50
8,109,518.15
1,246,047.50
22.187,267-61
49, 088,129.93
84, 351.35
33,902,765.12
1, 780, 212.11
63.049.05
35.746.026.28
84,918, 507.56
249,177.07
5, 000, 887.50
90,168, 572.13
Market
Market value WAM % Yield % of Total
11,459,085.00
2.53
1.94%
12.44%
6, 674, 396.65
2.98
2.18%
7.25%
8,450,847.30
2.19
2.50%
9.18%
1, 276, 652.50
1.30
1.83%
1.39%
23,139,905.63
2.08
2.21%
25.13%
51, 000, 887.08
2.36
2.19%
55.39%
84, 351.35
1.00
0.09%
0.09%
33, 902, 765.12
1.00
0.69%
36.82%
1, 780, 212.11
1.00
0.69%
1.93%
63.049.05
1.00
0.69%
0.07%
335.746,026.28
1.00
0.69%
38.82%
86,831,26-4-71
1.35
1.55%
94.30%
E
249,177.07
1.00
0.00%
0.27%
5.000.887.50
1.00
0.45%
5.43%
92,081,329.28
1.55%
100.00%
Negotiable Certificates of
$23,139,906
Mornapal Boni
56.674,397
t
5
LAIF- Immediate
Medium Term Notes 533,902,765
$8,450,647
LAIF-Senior Housing
$1,780,212
Month, Day, Year of Date Priced
Investments by Security Type
O June 30,2020
O September 30, 2020
September 30, 2020
Security Type
� CAMP-JPAP
Cash
I Government
LAIF- Immediate
LAW - LAWA
LAIF- Senior Housing
Medium Term Notes
Municipal Bonds
Negotiable Certificates of Deposit
Supranational Obligations
Supranational Obligations CAMP-JPAP Cash
11,276,653 $84,351 $5,250,065
Negotiable Certificates of
$23,139,906
Mornapal Boni
56.674,397
t
5
LAIF- Immediate
Medium Term Notes 533,902,765
$8,450,647
LAIF-Senior Housing
$1,780,212
Compliance
Partial Litt of Allowable Investment Instruments for Local Agencies
Obhaations
Maximum
Maximum
Minimum Quality
City of EI
In
Investment Type
Maturity
Specified % of
Requirements
Segundo
Compliance
None
25.13%
Portfolio
Deposit
Investments
Y/N
Local Agency
5 years
10%None
5 years 15%
7.25 /o °
Y
Bonds
Notes
IU. S Treasury
5 years
None
None
0.00%
Y
Obligations
Local Agency
1 US Agency
5 years
None
None
12.44%
Y
Obhaations
Negotiable
Certificates of
5 years 30%
None
25.13%
Y
Deposit
Medium Term
5 years 15%
"A" Rating
9.18%
Y
Notes
Collateralized
5 years None
None
0.00%
Y
Bank Deposits
Local Agency
Investment Fund
N/A None
None
38.82%
Y
(LAIF)
SUPRA
5 years 10%
"A A A" Rating
1.39%
Y
Nationals
Commercial
5 years 10%
"A -1/A" Rating
0.00%
Y
Paper
Joint Powers
N/A 30%
Multiple
0.09%
Y
Authority Pool
City of EI Segundo - Treasury Department
Continuing Education Tracking - As of June 30, 2020
Requirement YTD HoursExcess/(Deficit
Notes
Treasurer
5.00 3.00
(2.00) CMTA Webinars
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
Investment TVDe: Medium Term Notes. St,-OranationaK CD's 8 Comfrtareial raper - As of: June 30, 2020
Maximum
Minimum
City of EI
In
S&P
Segundo
MARKET
Imrnestment Type
Issuer
% of
Quality
Rating
Investment
-ompliance
VALUE
Portfolio
Requirements
Y/N
(Medium Tenn Notes
TOTAL
15%
"A" Rating
9.18%
Y
8.450.847
(Medium Term Notes
AMAZON.COM
3%
"A" Rating
AA-
0.57%
Y
521.2801
(Medium Term Notes
APPLE INC
3%
"A" Rating
AA+
0.57%
Y
526.440 1
(Medium Term Notes
BANK OF NEW YORK MELLON
3%
"A" Ratinq
A
0.55%
Y
505.1001
[Medium Term Notes
BERKSHIRE HATHAWAY
3%
"A" Ratinq
AA
0.57%
Y
526.695
Medium Term Notes
CATERPILLAR FINANCIAL SVCS
3%
"A" Rating
A
0.56%
Y
516,890
Medium Term Notes
COCA COLA CO
3%
"A" Ratinq
A+
0.57%
Y
$22,545
Medium Term Notes
ESTEE LAUDER CO INC
3%
"A" Rating
A+
0.57%
Y
526.780
Medium Term Notes
JOHNS HOPKINS HEALTH SYS
3%
"A" Ratinq
AA-
0.16%
Y
150,907
Medium Term Notes
NEW YORK LIFE GLOBAL
3%
"A" Ratinq
AA+
0.56%
Y
516.210
(Medium Term Notes
ORACLE CORPORATION
3%
"A" Rating
A
1.12%
Y
1,033,010
(Medium Term Notes
PACCAR FINANCIAL CORP
3%
"A" Rating
A+
0,55%
Y
508.690
(Medium Term Notes
TOYOTA MOTOR CREDIT CORP
3%
"A" Ratinp
A+
0.57%
Y
521.960
(Medium Term Notes
UNITED PARCEL SERVICE
3%
"A" Ratinp
A-
0.58%
Y
530,025
(Medium Term Notes
WAL-MART STORES INC
3%
"A" Rating
AA
0.57%
Y
521.595
(Medium Term Notes
WELLS FARGO & COMPANY
3%
"A" Rating
BBB+
1.11%
Y
1.022,720.000
ISuoranational ON
TOTAL
10%
"AAA" Rating
1.39%
Y
1.276.653.
(Supranational ON
(ADB -INTER -AMERICAN DEV
5%
"AAA" Rating
AAA
1.39%
Y
BANK
1,276.653
Municipal Bonds
TOTAL
10%
"A" Rating
725%
Y
6.674.397
Municipal Bonds
CONNECTICUT STATE
3%
"A" Rating
A
1.746%
Y
1.602,240
1Municipal Bonds
GOODRICH MICH
3%
"A" Rating
AA
0.35%
Y
317,895 1
(Municipal Bonds
HOUSTON. TX
3%
"A" Rating
AA
1.12%
Y
1.033,3101
IMunicioal Bonds
LA QUINTA CA REDEV
3%
"A" Ratinp
AA-
1.13%
Y
1,043,3601
IMunicioal Bonds
LAS VEGAS. NEV
3%
"A" Ratino.
AA
0.62%
Y
568.092 I
IMunicioal Bonds
NEW YORK. NY
3%
"A" Rating,
AA
1.13%
Y
1.040.950
IMunicipal Bonds
OREGON ST DEPT ADMIN
3%
"A" Ratinq_
_
AAA
0.58%
Y
536.265
IMunicipal Bands
TULSA CNTY. OKLA INDP
3%
"A" Rating
AA
058%
Y
532.285
Commercial Paper
TOTAL
10%
"A -1/A" Ratinq
0.00%
Y
-
Commercial Paper
3%
"A -1/A" Rating
A-1+
0.00%
Y
CD'S
TOTAL
30%
25.13%
Y
23,139,905.
Joint Powers Auth.
TOTAL
30%
0.09%
Y
84.351
_Pool
JPAP
CAMP
30%
0 09 %
Y
84.351
Interest Received
Transaction Date
2020
Description 43
54,000.000
c $3,000,000
E
a
FULLCALL n $2,000,000
52,000,000
n`
51,245,000
$1,DG7.0.00
51,000,000
50
$4,000,000
53,000,000
a
MATURED —
52.000,000 51,740,000 $1,745,000
c
c
$1,000.00o
$490,000
$o
5500,000
5400,000
E$300,000
-NTEREST a 5237,436
c 5200.000
n $122,490
5100,000 $92,212
$0
July August September
Grand Total
$3,975,000
$452,138
Tptal
Descrlptian
FULLCALL
* MATURED
i INTEREST
536,000,000
534,000,000
532,000,000
530,000,000
528,000,000
526.000,000
524,000,000
522,000,000
520,000,000
v
a
� sls,000,coc
516,000,000
514,000,000
512,000,000
510,000,000
58,000,000
$6,000,000 55,250,D65
54,000,000
533,902,766
$2,000,000
SO
Cash&Cash LAIF-
Equivalents Immediate
Investments by Maturity Date
September 30, 2020
$12,270,990
¢10,332,676
$8,028,102
51,780,212 $2,082,023
$735,894 $1,002,050 57401478
$63,049 584,351
LAIF -Semor LAIF -LAWA CAMP -JPAP X30 Days 31 to90 Days 91 to 180 181 to 365 Ito 2Years 2 t 3Years 3 t 4Ye— 4 t 5Years
Housing Days Days
Month, Day, Year of Date .-.
OJune30,2020
Q September 30, 2020
S20,000,000
$18,000,000
516,000,000
$14,000,000
$12,000,000
c
E
a 510,000,000
57.5"5.9
$8,000,000
$7,994,868
$6,000,000
$4,000,000
$2,000,000
Rolling 13 -Month Cash Flow Analysis
$20,1+9,844
$18,086,752
$13,765,076 $14,013,517
$12,084,101
$11,048,879
511,726,493
$10,049,458
$9,786,777
$8,303,582 $8,394,574
5539.456 V
$7,680,485 $7,789,861 $7,918,409 $$7,697,401
$6,463,125
$5,889,498 $6,072,544
$4,856,383
$0
September2019 November2019 January2D20 March202O May2020 July202O
Month of Date
$7,967,356
$6,190,879
September 2020
Measure Names
Total Disbursements
Total Receipts
510,000,000
$8,000,000
56,000,000
$4,000,000
$2,000,000
SO
($2,000,000)
($4,000,000)
($6,000,000)
($6,000,000)
($10,000,000)
(512,000,000)
(514,000,000)
Rolling 13 -Month Net Change in Cash
$9,692,177
17,938
;9,684)
(516.000,000) (S1s,333,461)
September` October November December January February March Apr.l May June July August September
Year
■ 2017/2018
2018/2019
■ 2019/2020
CITY OF
ELSE GUNDO
LAIF
Measure Na Maturity
�� A�efa9e
DaiiY
Quarter to Date
Diagoost;cs
0
a
V
pear 1• ZD
Date (Daily Rates)
Mea u.e Names
LAI F Apportionment Rates • Aoo°rt'°°me°`
1999
Date
LAIF Details
PMIA Portfolio Composition --09/30/2020
$109.2 billion
Time Deposit.
4-51%
Certificates of
Deposit/Bank
Notes
13.10%
Agenoes
1&42%
Commerml
Paper Loans
6-88% 0.64%
PMIA MARKET VALUATION
� tais —
tazo I
tots Pk11A
p tote `Market Value
di tot s
o tnt o r
aos r
0 10oc
9e s
�o BV -100
ses
9e 0
Treasunes srs
5644% 1?11e 3119 6119 9119 12119 3,120 6120 9120
Average Monthly Yield Comparison - 912015 through 912020
3.W%
2.50%
2.00% ti `
1.50%
1.00% 1;
0.50% � ---- ----
96 - 1'
0.00
lq In t0 t0 m t0 [ A � ti m O O e7 O 07 01 O O G O
O O O O O O O O O O O O O O O O O O
PMIA
—S&P GIP
----Fed Funds
Seplombor Yields
PMIA0.865%
S&P GIP 0.300%
Fed Funds 0.080%
CITY OF
ELSE GUNDO
Economic Environment
U.S. Treasury Yield Curve
I
1 600
1 550
1.680
1 590 1 620
290
280
0.100
0130 0 160 016, 0
0080
0,140 0100
0160
0.080 0110 0.120
tint, tt
Fed sees interest rates near zero through 2022
Day of Date
December 31, 2019
June 30, 2020
■ Sept—be, 30, 2020
1 600
1 550
1.680
1 590 1 620
290
280
0.100
0130 0 160 016, 0
0080
0,140 0100
0160
0.080 0110 0.120
tint, tt
Fed sees interest rates near zero through 2022
Day of Date
December 31, 2019
June 30, 2020
■ Sept—be, 30, 2020
10 -Year Minus 3 -Month Treasury Yield Spread
5.1
45
I
4.0
3.5 1
30
N
— 2.0
10 �,
0.0
-0 5 y
I
-1.0
1982 1984 198E 1988 1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014 2016 2018 2020 2022
Date
15
14
13
12
11
10
B
u
1
0
_1
_2
Unemployment vs Inflation
2001 2003 2005 2007 2009
Date
Last 20 years
Measure Names
Realized Inflation
r Unemployment Rate
t
2011
2013
2015
2017
2019
2021
Date
Date
Last 20 years
Measure Names
Realized Inflation
r Unemployment Rate
30
25
20
15
10
'u
m fr r
-0 5
-1 0
-15
-2 0
-2 5
5 -Year Breakeven Inflation Prediction
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2010 2019 2020 2021
Date
CITY OF
ELSEGUNDO
Survey of Options
Category
LAIF
Options as of 11/2/2020CO �
CD
■ Corp
GSE
13 Supra
* Taxable Muni
US Tsy
12
11 0
10
09
08
O 00 00 O
07
00
O 0
CP
n {}6 LAIF O O 0 O
O
O
os 0 0 O O
O 000000
O O O
04 00 O 0 O 0 0 00
0 0 0 O
O O ° O O O O 8
03 O °° ° 0°0 O OO O O
O
0 0 0 00 ® O O 0 0 0
02 0 O 0 0 0 �y0p ° O(0DO 06 O
8 000000 0 O 0 0®°04m° 00
0Q? OOO O
o1 0000 0 008 ® 00 0 (;� 0 0 O°
O
O O 0
00
00 02 04 06 O8 10 12 14 16 18 20 22 24 26 28 30 32 34 36 38 40 42 44 46 48 50 52
Effective Duration
Non -Callable Options as of 11/2/2020
ors
0 6G
0 55
0 SO
O O O O O
045 O O 00
O
0
040 O 00
v
00
} 0 35 0 O
O O O O
a'
030 O O O 0
0 O O
0 25 0 0 ® O O 0
0 O O
O 0
020 O 0 O 00 0
O O O (§)0
CR 0 O
0,5 0QD 0 OD ODO O
0p000 O O 0 0 O
00 O O
0A 000 O O 0® O O 0 0 0 GD
O
O
0 05 O O 0
0110
00 OS 10 15 20 25 30 35 40 4S SO
Effective Duration
Category
R LAIF
MCD
Corp
GSE
Supra
M US Tsy
Quarter
Reserve
Portfolio Ladder
by Quarter
;q3
September 30, 2020
Q4
M Total
2,020
S19,C90,000
412,000.000
517,030,000
m
vi
ti
S15,000,010
w
515,000 GCO
S14,000,DCD
513,100 coo
Q
S12,000,C00
�^
N ,y
S11A00 000
M
mo
l0
510,000,000
-
�
Q1
ai
w m
w
>
59,0001C00
m
52,000,000
S�.COO,000
S5 coo,oco
SS,ODO,CDD
^� o
w
m
$4.000,000
M m
N
l0
1�
53,000,000
m m
cK ti
m
Uf
w
a
o
S2,000,C00
51,000,0:0
p M
INS
I
O ~ N
■
m v
O N
N
N N
`0 o 0 a 10
0 0 o a M o 0
oa o 0 oa a
10
o
Goals
• Normalize data input procedures
• Develop a user -assisted cash flow projection based on known
and anticipated credits/debits
• Create a simple, in-house portfolio accounting and visualization
tool that leverages bank/custodian statements and transactions
• This would replace a relatively expensive and time -intensive third -party
tool that we currently use.
• Contingent upon a POB decision, explore the usage of the
PARS Stabilization Trust as a diversifier, a simplifier, and a
potential source of better long -run returns.
E SEGUNDO