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HomeMy WebLinkAboutInvestment Report January 31 2017 """"""" ""'""' Treasurer —Tax Collector Peggy Moak, Treasurer-Tax Collector ,25 County Center DriveSuite 125 T: 530.538.7701 buttecountv.net/tttc Oroville, California 95965-3384 F: 530.538.7648 TREASURER--TAX CC>LLECTdR February 15, 2017 Butte County Board of Supervisors Butte County Chief Administrative Officer Investment Pool Oversight Committee The attached investment report for January 31, 2017 is submitted in accordance with the Butte County Statement of Investment Policy dated July 1, 2016. All investments are in compliance with this policy. The Investment Report demonstrates that sufficient liquidity is available to meet anticipated expenditures during the next six months. The Local Agency Investment Fund (LAIF) is used as a benchmark for portfolio performance. A look at the 5-year moving average for the Butte County Treasury apportioned yields vs. LAIF apportioned yields demonstrates that, over time, a medium term, laddered portfolio will generally outperform a shorter-term investment strategy, which LAIF usually mirrors. The 5-year moving average for Butte County's FY 14/15 and FY 15/16 performance compared to LAIF shows margins of 1.092% and 0.865%, respectively. Using $350,000,000 as a baseline portfolio (actively invested balance), this translates to enhanced earnings averaging $3,027,500 per year for the past five years. NOTE: Fair values are trending lower than cost carried due to an increasing yield environment. Investments are marked to market monthly based on a current market price determined by U.S. Bancorp Investments. Copies of statements reflecting investment and cash management transactions are provided to the Board of Supervisors monthly and are available upon request. Quarterly Investment Reports are made available on the Treasurer-Tax Collector website at http://www.buttecounty.net/ttc. Respectfully, Peggy Moak Butte County Treasurer-Tax Collector cc: Butte County Auditor-Controller Butte-Glenn Community College Butte County Board of Supervisors Chico Unified and Gridley Unified School Districts Butte County District Attorney Jessee, Meegan—Butte County Deputy Administrative Officer Butte County Schools-JPA Liu, Annie—Butte County Manager, Gov't.Accounting Butte County Sheriff Childs, Heather—Butte County Internal Auditor Butte County Superintendent of Schools Butte County Special Districts(Quarterly) I/. iiiiii/� Ism BUTTE COUNTY TREASURER'S INVESTMENT REPORT January 31,2017 YIELD TO WEIGHTED AVERAGE ACTIVELY MANAGED PORTFOLIO: MATURITY MATURITY(DAYS)* PAR VALUE FAIR VALUE COST CARRIED LOCAL AGENCY INVESTMENT FUND(LAIF) 0.751% 1 80,295,786.55 80,295,786.55 80,295,786.55 CALTRUST SHORT TERM 0.911% 1 4,566.35 4,566.35 4,566.35 CAMP SHORT TERM 0.850% 1 20,093,602.34 20,093,602.34 20,093,602.34 BANK MONEY MARKET(COLLATERALIZED) 0.700% 1 1,001,522.62 1,001,522.62 1,001,522.62 U.S.TREASURY NOTES— 1.407% 1,183 9,000,000.00 8,960,316.00 9,007,115.57 MUNICIPAL BONDS** 1.652% 1,088 35,570,000.00 35,324,221.80 35,752,437.99 CORPORATE NOTES** 1.560% 869 52,527,000.00 52,621,340.28 52,958,149.14 NEGOTIABLE CDS** 1.738% 1,226 6,000,000.00 6,000,612.00 5,998,425.22 CERTIFICATES OF DEPOSIT(COLLATERALIZED) 1.100% 83 500,000.00 500,000.00 500,000.00 FEDERAL AGENCY NOTES** 1.285% 938 197,465,000.00 196,170,978.11 197,301,587.20 TOTAL ACTIVELY MANAGED PORTFOLIO: 1.233% 715 402,457,477.86 400,972,946.05 402,913,192.98 INVESTMENT OF NOTE/BOND PROCEEDS AND OPERATING CASH SCHOOL BOND PROCEEDS(see page 2 fordetails) 2,017,016.81 2,017,016.81 2,017,016.81 OPERATING ACCOUNTS U.S.BANK CHECKING ACCOUNT DEPOSITS 17,085,278.18 17,085,278.18 17,085,278.18 OPERATING CASH 53,077.46 53,077.46 53,077.46 OTHER 0.00 0.00 0.00 TOTAL TREASURER'S FUND LEDGER BALANCE: 421,612,850.31 420,128,318.50 422,068,565.43 INVESTMENTS UNDER MANAGEMENT OF TRUSTEES(see page 3fordetais) 2,198,832.78 2,198,832.78 2,222,235.00 PAR VALUE FAIR VALUE COST CARRIED TOTAL CASH AND INVESTMENTS: 423,811,683.09 422,327,151.28 424,290,800.43 SIX MONTH LIQUIDITY PROJECTIONS Estimated Cash Receipts for Next Six Months 437,148,077 Estimated Disbursements for Next Six Months -482,016,435 Estimated Net Cash Flow for Next Six Months*** -44,868,358 (Al) Prudent Reserve -30,000,000 (A2) Securities Maturing 15,000,000 (B) Local Agency Investment Fund/Cal Trust/MMF/CAMP 101,395,478 (C) Total Liquidity for Next Six Months 41,527,120 (A1+A2+B+C) Estimated Cash Available for Long Term Investment -30,000,000 Remaining Available Liquidity 11,527,120 Total Par Value of actively managed investments maturing in less than 12 months: 148,660,478 Total Par Value of actively managed investments maturing in more than 12 months: 253,797,000 Actual Weighted Average Maturity will be shorter,and actual dollar amount of investments maturing in less than 12 months will be higher than stated,due to call features on investments. See page 5 for detailed list of investments. Includes TRAN(Tax and Revenue Anticipation Notes)receipts and disbursements,if applicable. 1 BUTTE COUNTY TREASURER'S INVESTMENT REPORT INVESTMENT OF SCHOOL BOND PROCEEDS January 31, 2017 INVESTMENT MATURITY ANNUAL PAR FAIR COST BOND/NOTE DESCRIPTION TYPE DATE DESCRIPTION YIELD* VALUE VALUE CARRIED BONDS -LOCAL AGENCY INVESTMENT FUND (LAIF) Chico Unified Measure E Series A LAIF 0.751% 2,017,016.81 2,017,016.81 2,017,016.81 PAR FAIR COST VALUE VALUE CARRIED GRAND TOTAL 2,017,016.81 2,017,016.81 2,017,016.81 * Yields quoted above are a snapshot per investment type. Actual yields earned on school bonds are calculated by the Treasurer's office and are a composite of investment earnings less Treasury costs. 2 BUTTE COUNTY TREASURER'S INVESTMENT REPORT DEPOSITS AND INVESTMENTS UNDER MANAGEMENT OF TRUSTEES/FISCAL AGENTS January 31, 2017 INVESTMENT MATURITY ANNUAL PAR FAIR COST FINANCING PROGRAM TYPE DATE DESCRIPTION YIELD VALUE VALUE CARRIED 2004 PENSION OBLIGATION BONDS WELLS FARGO BANK,TRUSTEE Series A Bond Fund#XXXX1106 Money Market HERITAGE MM#3106 0.395% 1,117,209.07 1,117,209.07 1,117,209.07 Int.Rate Stabilization Fund#XXXX1109 Money Market HERITAGE MM#3106 0.395% 1,008.82 1,008.82 1,008.82 Pooled Agency Funds Local Agency Investment Fund 0.751% 1,644.96 1,644.96 1,644.96 Principal Account Fund#XXXX1140 Cash Cash 0.000% 11.54 11.54 11.54 Interest Account Fund#XXXX1141 Cash Cash 0.000% 5.62 5.62 5.62 Surplus Account Fund#XXXX1142 Cash Cash 0.000% 624.23 624.23 624.23 Series B Interest Fund#XXXX1301 Money Market HERITAGE MM#3106 0.395% 17,981.56 17,981.56 17,981.56 Series B Bond Fund#XXXX1305 Money Market HERITAGE MM#3106 0.395% 903,375.20 903,375.20 903,375.20 Series B Interest Fund#XXXX1307 Money Market HERITAGE MM#3106 0.395% 18.99 18.99 18.99 SUBTOTAL 2,041,879.99 2,041,879.99 2,041,879.99 DEPOSITS WITH FISCAL AGENTS Discovery Benefits Plan Year Cash Balance 1/01/15-12/31/15* NA 6,597.78 6,597.78 *"30,000.00 York Risk Services Group-Claim Administrators Umpqua Bank#XXXXX2601 Commercial Bank Business Checking NA 150,355.01 150,355.01 150,355.01 SUBTOTAL 156,952.79 156,952.79 180,355.01 PAR FAIR COST VALUE VALUE CARRIED GRAND TOTAL 2,198,832.78 2,198,832.78 2,222,235.00 Represents the most current data available(source:Auditor-Controller) "Benefits can be paid in advance of receipt of offsetting payroll deductions 3 BUTTE COUNTY TREASURER'S INVESTMENT REPORT ACTIVELY MANAGED PORTFOLIO"AT-A-GLANCE" January 31,2017 INVESTMENTS BY TYPE" INVESTMENTS BY MATURITY&YIELD" Local Agency Investment Fund/CalTrusUMMF/CAMP LAIF/CT/MMF/CAMP $ 101,395,478 Federal Home Loan Bank FHLB $ 48,700,000 LAI F/CALTRUST/MMF/CAM P(1 day) 0.751% $ 101,395,478 Federal Home Loan Mortgage Corp FHLMC $ 18,000,000 01-12 months 0.926% $ 47,265,000 Federal National Mortgage Assn FNMA $ 30,000,000 13-36 months 1.518% $ 115,702,000 Federal Farm Credit Bank FFCB $ 33,000,000 37-60 months 1.602% $ 138,095,000 Federal Agricultural Mortgage Corp FAMCA $ 29,265,000 TOTAL PAR VALUE $ 402,457,478 Corporate Notes CORP $ 52,527,000 U.S.Treasury Notes UST $ 9,000,000 *Investments managed by Trustees&School Bond Proceeds not included. Supranational SUPRA $ 38,500,000 Final maturity dates are used,probable call dates are not considered. Certificates of Deposit(Collateralized/Negotiable) CDS $ 6,500,000 Amounts quoted at Par Value. Municipal Bonds MUNI $ 35,570,000 $ 402,457,478 9% 2% 10% 4 ���, 2% �"IIII III II 13% LAIF/CALTRUST/NINIF/CAMP(1 day} LAIF/CT/NINIF/CAVIP FHLB FHL.VIC FNVIA 0:1.-:1.2 months.; FFCB FAVICA m CORP s UST a:1.3...36 months SUP RA aCDs VIUNI 37-60 months Butte County Pooled Treasury Portfolio Balance" Net of Tax and Revenue Anticipation Notes (TRAN) and Bond Proceeds $500,000,000 $475,000,000 th/ / WV zov ra s zoi6 $425,000,000 .... ...y, ^�ti/11""' „,�a� .... .. .... � .... .... .... .... .... .... Im'L .... i�'m' ""'zois $ ... r 2014 / ,mmmm„„m�T1( Iu�V $400,000,000 ��� r �� , s in � � � alt/v s�llr stV Tii � iim 2013 zoiz d $ I A H 375 000 000 zoo i9L»L' �( II yyd ,Hlrl a m �m $350,000,000 .. pmt 1 s nn o-. 2009 $325,000,000 n a zoos d $300,000,000 .... .... .... .... .... .. a m� $275,000,000 $250,000,000 JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC ** This chart does not include deposits from TRAN,Bond Proceeds,or Investments under Management of Trustees. It is intended to demonstrate cash flow trends and establish a baseline for the portfolio,enabling medium term investments. 4 BUTTE COUNTY TREASURER'S INVESTMENT REPORT MANAGED PORTFOLIO-DETAILS OF SECURITIES HELD January 31,2017 Credit Rating Purchase m—ity Yield to Security De Inion S&P M..dV. Fitch Date Date MaWriwM Par Value Fair Value Cost Carrietl' 3137EADCO FREDDIE MAC AA- Ann AAA 2/14/2013 3/8/2017 0753 500000000 500271000 500124723 57582PII MASSACHUSETTS ST GO LTD TXBL AA- Ani AA- 4/8/2013 4/1/2017 0780 200000000 200064000 2000720.17 89236TBH7 TOYOTA MOTOR CREDIT CORP AA- An3 A 3/13/2015 5/16/2017 1000 450000000 450181800 450161724 45905URF3 INTL BK DECOR&DEVELOP AAA Ann NR 2/19/2015 7/17/2017 0890 300000000 299887800 300013196 313OA3TKO FEDERAL H OME LOAN BAN K AA- Ann NR 12/31/2014 9/22/2017 1070 500000000 501218500 499936457 3133EEQX1 FEDERAL FARM CREDIT BAN K AA- Ann AAA 2/25/2015 9/25/2017 1000 300000000 300807200 300000000 313381820 FEDERAL HOME LOAN BANK AA- Ann NR 12/19/2012 12/8/2017 0857 500000000 499595000 499553829 3133ECB45 FEDERAL FARM CREDIT BANK AA- Ann AAA 12/26/2012 12/26/2017 0910 10,000,000.00 999395000 999909722 31315PTSS FARMER MAC NR NR NR 1/11/2013 12/27/2017 0903 426500000 425746801 426488323 3137EADN6 FHLMC 7501/18 AA- Ann AAA 1/14/2013 1/12/2018 0920 500000000 499393000 499214828 3135GOUE1 FEDERAL NATL MORTGAGE ASSN AA- Ann AAA 2/14/2013 2/14/2018 1000 10,000,000.00 999113000 10,000,000.00 48124JSZ2 JP MORGAN CHASE BANK NA NR NR NR 2/20/2013 2/20/2018 1.125 25000000 24467500 25000000 31315PpM4 FARMER MAC NR NR NR 39/2013 3/6/2018 0940 10,000,000.00 997195000 999997804 31315PZZ5 FARMER MAC NR NR NR 5/15/2013 3/9/2018 0976 500000000 498000000 498890007 64952WBZ5 NEW YORK LIFE GLOBAL FDG AA- Ann AAA 4/27/2015 4/27/2018 1230 500000000 498872500 500425352 02006LQN6 ALLY BANK NR NR NR 4/30/2015 4/30/2018 1.150 25000000 25057425 25000000 3133ECNY6 FEDERAL FARM CREDIT BANK AA- Ann AAA 5/8/2013 5/8/2018 0988 500000000 499199500 499777847 3134G45W4 FEDERAL HOME LOAN MTG CORP AA- Ann AAA 5/29/2013 5/29/2018 1000 500000000 498105500 500000000 17275RAU6 CISCO SYSTEMS INC AA- Al NR 11/12/2015 6/15/2018 1365 500000000 501817000 501911404 89236TCPS TOYOTA MOTOR CREDIT CORP AA- An3 A 9/18/2015 7/13/2018 1600 500000000 499982500 499645143 38147J3EO GOLDMAN SACHS BANK USA NR NR NR 8/27/2014 8/27/2018 1650 25000000 25134425 25000000 02587CAY6 AMERICAN EXPRESS BK FSB NR NR NR 8/28/2014 8/28/2018 1600 25000000 25134450 25000000 45905SERO INTL BK DECOR&DEVELOP AAA Ann AAA 12/5/2016 10/5/2018 1261 250000000 249067000 248922409 79545OR109 SALLIE MAE BANK/SALT LIKE NR NR NR 11/25/2013 11/20/2018 2050 25000000 25314875 25000000 686184WJ7 ORIENTAL BANK NR NR NR 12/16/2015 12/17/2018 1750 25000000 25094625 25000000 89236TBBO TOYOTA MOTOR CREDIT CORP AA- An3 A 9/18/2015 1/17/2019 1875 500000000 503808500 502125855 037833Bp2 APPLEINC AA- Ani NR 1/17/2017 2/22/2019 1450 154000000 154448800 154776852 650035KSO NEW YORK ST URBAN DEV CORP REV AAA Ani AA- 12/18/2014 3/15/2019 1980 500000000 501930000 500097564 13063CKL3 CALIFORNIA ST GO UNLTD TXBL AA- An3 AA- 11/24/2014 5/1/2019 1900 300000000 302343000 302253494 3133EFD20 FEDERAL FARM CREDIT BANK AA- Ann AAA 2/23/2016 5/23/2019 1288 500000000 496430000 499822222 59491 SACS MICROSOFT CORP AAA Ann AA- 9/28/2015 6/1/2019 1580 250000000 265384000 264787302 313379EE5 FEDERAL HOME LOAN BANK AA- Ann NR 6/16/2014 6/14/2019 1785 500000000 502696000 498192475 91412GSB2 UNIV OF CALIFORNIA CA REVTXBL AA Ant AA 8/24/2015 7/1/2019 1698 500000000 502425000 501138464 31315PII FEDERAL AGRIC MTG CORP NR NR NR 7/17/2014 7/17/2019 1813 500000000 502215000 499027861 459058EV1 INTL BK DECOR&DEVELOP AAA Ann AAA 1/28/2016 7/26/2019 1392 500000000 496290000 498281856 31315PTD1 FARMER MAC NR NR NR 8/25/2014 8/23/2019 1765 500000000 500840500 497981907 68389XAX3 ORACLE CORP AA- Al A+ 10/6/2015 10/8/2019 1845 416200000 421840150 420542831 45905UZX INTL BK DECOR&DEVELOP NR Ann NR 12/2/2016 10/25/2019 1573 500000000 494379500 496367755 3133EEBN9 FEDERAL FARM CREDIT BANK AA- Ann AAA 11/12/2014 11/12/2019 1800 500000000 503412500 500000000 988594AW3 WHITNEYBANK/MS NR NR NR 1/25/2017 1/27/2020 1700 25000000 25096125 25000000 02587DXE3 AMERICAN EXPR CENTURION NR NR NR 1/30/2015 1/30/2020 1950 25000000 25299600 25000000 882806EM0 TEXAS ST TECH UNIV REV AA- Ani AA- 11/6/2015 2/15/2020 1790 257000000 256933150 259347551 91282SJ84 USTREASURY NOTE AA- Ann AAA 4/8/2015 3/31/2020 1330 500000000 497344000 500881500 13063CSp4 CALIFORNIA ST GO UNLTD TXBL AA- An3 AA- 4/29/2015 4/1/2020 1680 500000000 493890000 501814221 71270pMS2 PEOPLES UNI TED BANK NA NR NR NR 4/15/2015 4/15/2020 1800 25000000 25307150 25000000 037833BD1 APPLE INC AA- Ani NR 5/21/2015 5/6/2020 1 892 9,825,000 00 9,843,539 78 9,857,854 58 3136G2HF7 FEDERAL NATL MORTGAGE ASSN AA- Ann AAA 5/19/2015 5/19/2020 1600 500000000 498837000 500000000 912828XE5 USTREASURY NOTE AA- Ann AAA 6/1/2015 5/31/2020 1503 400000000 398887600 3999584.13 140420RXO CAPITAL ONE BANK USA NA NR NR NR 6/10/2015 6/10/2020 2008 25000000 25236975 24916158 313383HUS FEDERAL HOME LOAN BANK AA- Ann NR 6/5/2015 6/12/2020 1780 500000000 501209500 499517476 313383HUS FEDERAL HOME LOAN BANK AA- Ann NR 7/20/2015 6/12/2020 1806 500000000 501209500 4990962.17 3133834H1 FHLB 1.37506/20 AA- Ann NR 7/23/2015 6/12/2020 1795 520000000 514024160 512993962 8821172X1 TEXAS ST A&M UNIV REV AAA Ann AAA 8/10/2015 7/1/2020 1963 300000000 297342000 297925554 459058FI00 INTL BK DECOR&DEVELOP AAA Ann AAA 8/23/2016 8/10/2020 1.140 500000000 487808000 499737663 05580ACW2 BMW BANK NORTH AMERICA NR NR NR 9/18/2015 9/18/2020 2200 25000000 25452850 25000000 20033AII COMEN TY CAPITAL BANK NR NR NR 9/21/2015 9/21/2020 2250 25000000 25453875 25000000 254672VT2 DISCOVER BANK NR NR NR 10/21/2015 10/21/2020 2200 25000000 25396150 25000000 14042RBL4 CAPITAL ONE NA NR NR NR 11/13/2015 10/28/2020 2277 25000000 25438800 24976446 594918BG8 MICROSOFT CORP AAA Ann AA- 8/22/2016 11/3/2020 1382 500000000 498858000 511207097 949MTWGS WELLS FARGO BANK NA NR NR NR 12/3/2015 12/3/2020 1500 25000000 25252375 25000000 292MNX93 ENERBANK USA NR NR NR 1/28/2016 1/28/2021 1903 25000000 25016225 24950157 313OA7CV5 FEDERAL HOME LOAN BANK AA- Ann NR 49/2016 2/18/2021 1315 500000000 490588000 501169095 3136G2Z26 FNMA STEP UP AA- Ann AAA 2/26/2016 2/26/2021 1000 500000000 499866000 500000000 3136G3AV7 FNMA STEP UP AA- NR AAA 3/10/2016 3/10/2021 1000 500000000 499589500 500000000 4581XOCS5 INTERAMERICANLEVEL BK AAA Ann AAA 11/15/2016 3/15/2021 1574 500000000 497476000 505969295 13063CP87 CALIFORNIA ST GO UNLTD AA- An3 AA- 6/13/2016 4/1/2021 1430 500000000 485955000 501397569 3134GSY29 FREDDIE MAC AA- NR AAA 4/28/2016 4/28/2021 1326 300000000 295531500 299618250 459058FDO INTL BK DECOR&DEV STEP UP NR NR NR 4/28/2016 4/28/2021 1250 300000000 295998000 300000000 128829AC2 CALDWELL BK&TRUST CO NR NR NR 5/13/2016 5/13/2021 1400 25000000 24804250 25000000 91412GF59 UNIV OF CALIFORNIA CA REV TXBL AA Ant AA 8/5/2016 5/15/2021 1417 500000000 491540000 509607104 459058FH1 INTL BK DECOR&DEVELOP AAA Ann AAA 6/13/2016 5/24/2021 1412 500000000 486495000 499228296 3136G31I FEDERAL NATL MORTGAGE ASSN AA- Ann AAA 5/25/2016 5/25/2021 1375 500000000 487051500 500000000 27113PBEO EAST BOSTON SAVINGS BANK NR NR NR 6/23/2016 6/23/2021 1500 25000000 24567200 25000000 3133EGKA2 FEDERAL FARM CREDIT BANK AA- Ann AAA 7/6/2016 7/6/2021 1500 500000000 479553500 500000000 3130ASQS5 FEDERAL HOME LOAN BANK AA- Ann NR 7/14/2016 7/14/2021 1201 500000000 483159000 498361378 584038452 MEDALLION BANK UTAH NR NR NR 7/28/2016 7/26/2021 1400 25000000 24485750 25000000 9596ONJNS WESTERN STATE BANK NR NR NR 7/29/2016 7/29/2021 1400 25000000 24483450 25000000 594918BPS MICROSOFT CORP AAA Ann AA- 8/19/2016 8/8/2021 1541 500000000 483189000 500195199 74267GVII PRIVATEBANK&TRUST CO NR NR NR 8/30/2016 8/30/2021 1500 25000000 24467800 25000000 08173p BR6 BENEFICIAL BANK NR NR NR 9/16/2016 9/13/2021 1500 25000000 24488875 25000000 87165FNC4 SYCHRONYBANK NR NR NR 10/21/2016 10/21/2021 1700 25000000 24413025 25000000 3130AA21`4 FEDERAL HOME LOAN BANK AA- Ann NR 11/23/2016 11/23/2021 1700 500000000 491537000 500000000 45905UC28 INTL BK DECOR&DEVELOP NR NR NR 12/28/2016 12/28/2021 2050 500000000 496550000 500000000 084601GS6 BERKSHIRE BK/PITTSFIELD NR NR NR 12/30/2016 12/30/2021 2200 25000000 25219825 25000000 3130AALZ9 FHLB STEP UP AA- Ann NR 1/27/2017 1/27/2022 1000 350000000 347756850 350000000 **Effective Duration:2.283 1.389 300,562,000.00 299,077,468.19 300,938,952.02 Source: U.S.Bank Safekeeping `Veluns may tliffnr from Treasurer's Gast C....d tlun tc accretion mnthad variation. "BandEdg,POMolia-Annlysis Note.: Fntlnral Agricultural Mortgage C.T...tian securhins ere issuetl by n U S.Government g.n y and am not rat.d N ngatiable CDs ere not t.d,but am FDIC insuretl. 5