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2006 10 11 IABr G Z P.O. Bo\ 1501 L% Qt tti t t, (: tt iftta\t t 922I7-1 50.4 t✓O1 tttr 78-495 C%I t r "I>MPr( a (760) 7 7 7 - 7 1 La Qt IvIX, CXIII OR1tt 92253 FAX (760) 777-71 AGENDA INVESTMENT ADVISORY BOARD Study Session Room 78-496 Calle Tampico- La Quinta, CA 92263 October 11, 2006 - 5:30 P.M. CALL TO ORDER a. Pledge of Allegiance b. Roll Call PUBLIC COMMENT- (This is the time set aside for public comment on any matter not scheduled on the agenda t III CONFIRMATION OF AGENDA IV CONSENT CALENDAR Approval of Minutes of Meeting on September 13, 2006 for the Investment Advisory Board. V BUSINESS SESSION A. Transmittal of Treasury Report for August, 2006 B. Continued Consideration of the Fiscal Year 2006/07 Work Plan — Review of Investment Policy VI CORRESPONDENCE AND WRITTEN MATERIAL A. Month End Cash Report - September 2006 B. Pooled Money Investment Board Report — July 2006 VII BOARD MEMBER ITEMS VIII ADJOURNMENT Fi INVESTMENT ADVISORY BOARD Business Session: A Meeting Date: October 11, 2006 ITEM TITLE: Transmittal of Treasury Report for August 31, 2006 BACKGROUND: Attached please find the Treasury Report for August 31, 2006. RECOMMENDATION: Review, Receive and File the Treasury Report for August 31, 2006. /lii� j �'�-���u7u✓l� John M. Falconer, Finance Director O� - s 'FM OF TIIY O� TO: La Quinta City Council MEMORANDUM FROM: John M. Falconer, Finance Director7Treasurer SUBJECT: Treasurer's Report for August 31, 2006 DATE: September 30, 2006 Attached is the Treasurer's Report for the month ending August 31, 2006. The report is submitted to the City Council each month after a reconciliation of accounts is accomplished by the Finance Department. The following table summarizes the changes in investment types for the month: Investment Beginning Purchased Notes Sold/Matured Other Ending Change Cash (3) $ (1,650.862) $ 11,493,308 (1) $9,842,446 $11,493,301 LAIF 32,036,723 4,350,000 (10,150,000) 0 26,236,723 (5,800,00( US Treasuries (2) 145,' 39,225 $ 583,041 145,722,266 583,04- US Gov't Sponsored Enterprises (2) 24,780,675 5,000,000 17,583 29,798,258 5,017,58: Commercial Paper (2) 11,937,968 (9,000,000) 49,789 2,987,757 (8,950,21 Corporate Notes - 0 Mutual Funds 5645,962 22,031 1 5,667.993 22,03' Total $ 217889691 $ 20865,339 $ 19150,000 $ 650,413 $ 220,255,443 $ 2,365,75; I certify that this report accurately reflects all pooled investments and is in compliance with the California Government Code; and is in conformity with the City Investment Policy except as follows: The Federal Home Loan Bank maximum was exceeded on January 18, 2006, as reported on page 2, and is expected to come into conformity on December 15, 2006. As of August 31, 2006, the market value of the Investment was $7,524.192 and the amortized cost plus accrued interest was $7,544,421 for an unrealized loss of $20,229. Management intends to hold the investment to maturity. As Treasurer of the City of La Quints, 1 hereby certify that sufficient investment liquidity and anticipated revenues are available to meet the pools expenditure requirements for the next six months. The City of La Quints used the Bureau of the Public Debt, U.S. Bank Monthly Statement and the Bank of New York Monthly Custodian Report to determine the fair market value of investments at month end. Bohn M. Falconer Date Finance Directon Treasurer - Footnote (1) The amount reported represents the net Increase (decrease) of deposits and withdrawals from the previous month. (2) The amount reported in the other column represents the amortization of premium/discount for the month on US Treasury, Commercial Paper and Agency investments. (3) The cash account may reflect a negative balance. This negative balance will be offset with transfers from other Investments before warrants are presented for payment by the payee at the bank. .reasurer's Commentary or the Month of August :ash Balances — The portfolio size were unchanged for the month of August. ivestment Activity — Only one purchase was made in August - $ 5 million Farm Cre liscount Note and three late August maturities of Commercial Paper totaling $9 million wh vere purchased in anticipation of the $10.8 million September 1 debt service payment. E 3 the City's short maturities, no investment is currently yielding less than 4.37%. At moi nd, the sweep had $352,858 balance and yielded 4.63% which primarily consisted utstanding warrants. While this rate is lower than the LAIF rate of 4.95% for next ( rods, the sweep account allows the City to take advantage of earning interest on warra iat have been released but have not been cleared by our bank. The sweep was institu• ased upon the raising interest rates and earned $ 4,640 in cash for the month. The bE .as for the month were $ 1,981 which resulted in a net increase of $ 2,659 in real saving, ortfolio Performance — The overall portfolio performance increased by one (1) basis point a nded at 4.97% for the month. At the end of August, the portfolio yield is identical to 1 enchmark which decreased nine (9) basis points from the previous month to end at 4.97 Vith the short average maturity of 74 days, the portfolio yield should continue to incre< ased upon rising short term interest rates and the short average maturities of the portfo'. ,t this time last year, the portfolio was yielding 2.81 % and the benchmark was at 3.69% 88 point difference so we have made some progress in meeting our benchmark. 1 reasurer has not been investing in longer than six months Treasury securities or in more ti- ne year GSE's based upon the yield curve to take advantage of yield spreads. uture Thoughts he Treasurer will continue to invest in relatively short term maturities to take advantage ie inverted yield curve. 9 s rj 14 $ yy z p z 0 z z z Q Q z z c o Ol N z' q U U Nb Q g J � i3 y q f0 O O O � 10 � NN�vN)Q NS88SM N N O O �j I O O O O 88885 0p q {y N p O y OJ q O O N N URN O ' a r • W � W N N N g N HH§ aka ffi m »QQyQpp» q 8252fE� yQ E m �oogog �, mZs 4 v5 �m,a C E i o LL p O § OJ € z $ q � m a maz$° E a let EE $ O E LLap TL ER O LS m € U' LL LL LL LL 2 � a q xxx� f uifv Q 6 O 6 6 6 G 6 S N seao�aaas� CCCC�CCCCC N 41 VI 41 N y f/r 41 41 41 a 2 '2 pivaP�faoa�n- xxxxxxxxx P M H �Pa a,'a ).Wbamm s �1 V NfTN�NPb)I.Ob N A P A P P P N N P S m RRRR4RRRRR gg y a� N 2 R � @4@3 ixiRiaugwumiei N p a T T ,(IiP a41N Ji g Ixxxxxxyx N P V+ N a L j�s C N 5g yr{ N M A NN N� W;O;jj [O['jj pPp �[$�jii00 !bN �N�N�ppAP k'�&�wGi$gV gag I����� W +y p +YW�S.b s O _Yaj H p< m k (Y O N V W N N HIM, � �Sp'Cu �E'i S xx�xxx� 's $$RR B.$R fifull 0 II u NSA$$y$ GiN p. 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O z m N l7 py 01 H N N SP qp +q :,6 � P W N Q W P O16 q /rz� r LL N P N N N 9 N1,4 r W' P ri p yy p m W {y y �Y^uy �Pp p o N lV b N lV g N oo p P iZ p i yQ^ NN �or N N�rrP NC)�mOro N "' � Y wC L E EE W� 0 _C i0 L13'E-E .c& o Myc�gspFY P.4 X Q W0 cy0' 2 x(�gOtiOF Z U W !! !! !! !! !• !! �f! �k! k-! )k! --! �| �\I •k; •!! 2ƒf )2|!� 2J|!� )]\ -- ,!|2a !!,2! . ,%,2; 660 _ | �. .0 0 { {{{{ {{ {{/ \woo ({( kkkkl• kkk/!! kkk(!! kkk){! klk$! kkk§!! kkk - ��!!r �!!!E! !!!!.� � !!!!| ` ! „ !!!!E� <)!a!! //| � I I N O Q .- w c r, y N c I O m 00 C � E y, I CO W Ni I Q � .I Cc C d .5 ( c rn C !w L U d N I c o _ Q N c N c 7 y (� CI E W E W C N N� O rL+ 7 7 V s o� o o0 (i o O 0 0 0 O O O O O O -co a-M ___ CV--- _-_ -G -•_ INVESTMENT ADVISORY BOARD Meeting Date: TITLE: October 11, 2006 Business Session: B Continued Consideration of the Fiscal Year 2006/07 Work Plan — Review of Investment Policy BACKGROUND: At the September board meeting the Board's concensus on the review of the Investment Policy as follows: 1. Retain the Buy & Hold Policy. 2. Maintain the two year maximum maturity restriction. 3. Do not allow for callable GSE's. 4. Increase the maximum amount for commercial paper and corporate notes from $3 million to $5 million. 5. Carry over the discussion of changing the GSE dollar limitation to the October meeting. 6. An Investment Benchmark survey is also attached as information. Recommend changes if any to the Fiscal Year 2006/07 Investment Policy to the City Council. 1 John M. Falconer, Finance Director C twd V yy aTI � • 7 F°- N ° nd�°d > °a. arA a A �^ H .a d cc m i q q q 00 V a o � to 00 >6 t; iL > �p 6O •r 1r""i~'" £"' V v > "' eV+ � F" I.V. 'b � 4. G O O'❑C❑ en 0 0 0 00 Q a c>C J.,O VIaU ai 03 Ua,t r ++ r ++ F. �e C3 Fcccl o° v N Q O O >, •� N_ .b Viz oq F- W M M C �G �n N 10 a r O n'141 1 r cc •' oq � is F rx° q go q a p V e as L m A ,ram 5 w o r w AC1 v,v, NviaaH a�U� � OG L d d O d °a aL1 r a U " d a 'a v� O U 1� GQ MNa t0.w QH a N a Vl bD CQ O O V �+ 0`7 1# TJ c C V A cc r 0 CC aaV 2 G C� ti Z! ' O o o c i > ►r.' S 5 0" o.. �0.3b o O'Y U '~ M U o ~ N N fr C6 W 5� ti i�•�'. Y N Ir 5 -E= a aUUo o 0 L r 3 o a .r U A F A: Q Gn o d UD e U > x a z w �a � o a U .a o .. N .. E o U o'p o EH d Fcl d o U a x w v v 0 �1 ra�N Y J1 U 3 U 3a 0 INVESTMENT ADVISORY BOARD Correspondence & Written Material Item A Meeting Data: October 11, 2006 TITLE: Month End Cash Report — September 2006 BACKGROUND: This cash report is not a complete Treasury Report (exclude petty cash, deferred compensation and fiscal agent balances), but would report in a timely fashion selected cash balances. RECOMMENDATION: Information item only. Phn M. Falconer, Finance Director Nw 0 b (O M O O b b m N N OWj � ONi V m � ry O O V N O O oO � Q o m o N W w w O W O (y r N O Q Q N Ilk {pp mm m W O ^ O O pp (y N< O O Q �p Ow W O N S j O O N OOO m W Q n O r O n Q 'NOR y O O O O O O O o O m m o 0 0 n n n n a N m vi di of of LL Z'gN Q n Q r N Q o 0 0 n Q N mom o w w r m r U m m m o IF m q 0 e o y LL d O O O O O O qI pO O gC 0 O O O 0 O W pn �p tm+f m O M 0 d 00 n n O n n r W W m O m � 0 1O eES r e O N b^ O m LL O N OyQ n Y b N N N O N m o Q yQ O n r b N O N Pam 7 N m m O o W 5 N = Y ry or 2 W $ c w W o K �w„since � d M 8 6 W W $K Qy1 o w & W c $g°SqEq W W y� c yw E ,m 9 Ys c 2 r c c~ c E m S W c n c W n o w-,abozci-,wE$s-,m a 5 C FRB: Commercial Faper Kates ana uutstanamgs rays f vt j Federal Reserve Release Commercial Paper Release I About I Outstandings I Volume statistics I Year-end I Data Download Data as of September 29, 2006 Try -ata DJXII`Ca� Commercial Paper Rates and Outstanding Derived from data supplied by The Depository Trust Company Posted October 2, 2006 Flike unt rates FTem AA nonfinancial A2/P2/F2 nonfinancial AA financial asset -backed 1-day 5.36 5.47 5.34 5.40 7-day 5.34 5.40 5.25 5.32 15-day 5.25 5.38 5.26 5.31 30-day 5.30 5.35 5.24 5.29 60-day 5.19 5.38 5.23 5.30 90-day n.a. 5.36 5.23 5.26 Tmde data insufficient to sunnort calculation of the 90-dav AA nonfinancial rate for September 29, Yield curve :Honey market basis -- AAn.mtinanciul ........ AVIANI--' mmfinunciul 1 7 15 30 Days to Maturity 60 Preen --1 5.7 9C 5.5 5.3 5.1 http://www.federalreserve.gov/Releases/CP/ 10/2/200t rxn: t;ommercial raper Kates ana umstanuings ras< < vi Discount rate spread Thirty -day A2/P2/FF2 le„ AA nonfinancial commercial paper Wail)) Ba%i% pointy 120 --- +Pread, 5-da) mm mg avr 80 60 40 f420 0 2001 2002 2003 2004 20t15 2006 Discount rate history Percent 6 5 4 3 1) [i1 2001 2(102 2tM)3 2003 2005 2(X)6 Outstandings Weekly (Wednesday), seasonally adjusted http://www.federalreserve.gov/Releases/CP/ 10/2/200t PKts: commercial raper Kates ana vutstanamgs rage J Ui J I lM 99U 940 890 840 790 740 690 640 590 540 490 Billions of dollars Billions of dollar 250 I -� -- \„nhn.anti ini tnght .aalr) IN I t ly I sir � •.:r, �:• 2001 2tris2 20113 2004 2005 2006 210 170 130 90 The daily commercial paper release will usually be available before 11:00am EST. However, the Federal Reserve Board makes no guarantee regarding the timing of the daily commercial paper release. When the Federal Reserve Board is closed on a business day, rates for the previous business day will be available through the Federal Reserve Board's Data Download application. This policy is subject to change at any time without notice. Release I About I Outstandings I Volume statistics I Year-end I Data Download Home I Statistical releases Accessibility I Contact Us Last update: October 2, 2006 http://www.federalreserve.gov/Releases/CP/ 10/2/200f xecent 13111 Auction xesuits ragc I VI I Security Issue Maturity Discount Investment Price DUSIP Term Date Date Rate NO Rate W. Per $100 91 DAY 10-05-2006 01 04 2007 4,765 4,890 98 795514 912795YM2 182-DAY 10 05-2006 04-05.2007 4.825 5,014 97.560694 912795ZA2 28 DAY 09 28-2006 10 26-2006 4.545 4624 99.646500 912795Y81 91 DAY 09 28-2006 12-28-2006 4.770 4.895 98.794250 912795YL9 182 DAY 09-28-2006 03 29 2007 4.810 4.998 91 568278 912795YZS 28 DAY 09 21 2006 10 19 2006 4.640 4,721 99 639111 912795YA3 91L DAY 09-21-2006 12 21 2006 4815 4.942 96.782875 912795YK1 182-DAY 09 21-2006 03-22-2001 4 920 5.116 97 512667 912195YYI 1 DAY 09-14-2006 09-15 2006 5.200 5 273 99 985556 912795TV3 28-DAY 09 14 2006 10-12-2006 4.675 4 757 99.636389 912795XZ9 91-DAY 09-14-2006 12 14 2006 4,820 4 947 98.781611 912795Y14 182-DAY 09 14-2006 03-15-2007 4.935 5 132 97.505083 912795YX3 8-DAY 09-07-2006 09-15-2006 5.165 5 243 99,885222 912195TV3 28-DAY 09-07-2006 10-05-2006 4.790 4 875 99 627444 912795XY2 91 DAY 09-07-2006 12 07-2006 4-855 4.984 98.772764 912795YH8 182 DAY 09-07 2006 03 08 2007 4.920 5 116 97 512667 912795YW5 14-DAY 09-01-2006 09 15 2006 5.170 5 252 99.798944 912795TV3 28-DAY 08-31-2006 09-28 2005 5.100 5 191 99.603333 912795XX4 91-DAY 08-31-2006 11-30 2006 4.960 5 093 98,746222 91279SYGO 182-DAY 08-31 2006 03 01-2007 4.970 5.169 97.487389 912795YV7 28 DAY 08-24 2006 09 21 2006 5.075 5 166 99.605278 912795XW6 92-DAY 08-24.2006 11-24 2006 4.915 5.109 98.728611 912795YF2 182-DAY 08-24 2006 02-22 2001 4 915 5.174 97.484861 912195YU9 28-DAY 08 17 2006 09 14 2006 5 075 5 166 99.605278 912795XVB 91-DAY 08 17 2006 11-16-2006 4.980 5 114 98 741167 912795YE5 182-DAY 08-172006 02-15-2001 5.030 5.233 97457056 912795Y72 28-DAY 08-10 2006 09 01 2006 5.135 5 227 99 600611 912795XUO 91-DAY 08-10 2006 11-09-2006 4.990 5.124 98 738639 912795YD7 182 DAY 08 30 2006 02 08 2007 4.990 5 190 97 477278 912795Y54 28-DAY 08-03 2006 08-31-2006 5.120 5.212 99 601778 912795XT3 91 DAY 08-03-2006 11-02-2006 4.975 5.108 98.742431 912795YC9 182-DAY 08-03 2006 02-01-2007 4.975 5.174 97.484861 912795YR6 28-DAY 07-27-2006 0824-2006 4,920 5007 99,617333 912795X55 91-DAY 07 27-2006 10-26 2006 4.975 5 108 98.742431 912795YBI 182-DAY 07-27-2006 01-25 2007 5.060 5.265 97 441889 912795YQB 28-DAY 07-20-2006 08 17 2006 4.850 4,936 99.622778 912795XR7 91-DAY 07-20-2006 10 19.2006 4.965 5.098 98.744958 912795YA3 182-DAY 07.20-2006 01-18-2007 5.090 5.297 97 426722 912795YPO 28-DAY 07-13 2006 08-10 2006 4.805 4.890 99.626278 912795XQ9 91-DAY 07-13-2006 10 12 2006 4.925 5.056 98.755069 912795XZ9 Effective with the 11/2/98 auction, all bills are auctioned using the single -priced method. http://www.treasurydirect.gov/RI/OFBills 10/2/20015 FRB: H.15--Selected Interest Rates, Web -Only Daily Update--septemoer ty, tuuo rage i of w Federal Reserve Statistical Release 11.15 Selected Interest Rates pay) IkT n, ( ,,,I..:, Release Date: September 29, 2006 Weekly release dates and announcements I I Iistorical data I Data Download I About Daily update Other formats: Screen reader I ASCII Try Cad Down caj Hare The weekly release is posted on Monday. Daily updates of the weekly release ar through Friday on this site. If Monday is a holiday, the weekly release will be F after the holiday and the daily update will not be posted on that Tuesday. FEDERAL RESERVE STATISTICAL RELEASE H.15 DAILY UPDATE: WEB RELEASE ONLY SELECTED INTEREST RATES For use at 4:15 p.m. Eastern Time Yields in percent per annum September 29, 2006 2006 2C06 2006 2006 Instruments Sep Sep Sep Sep 25 26 27 28 Federal funds (effective) 1 2 3 5.30 5.25 5.30 5.28 Commercial Paper 3 4 5 Nonfinancial 1-month 5.19 5.21 5.19 5.20 2-month 5.19 5.20 5.17 5.19 3-month n.a. n.a. n.a. n.a. Financial 1-month 5.22 5.22 5.24 5.23 2-month 5.24 5.23 5.23 5.24 3-month 5.23 5.21 5.23 5.22 CDs (secondary market) 3 6 1-month 5.29 5.28 5.29 5.29 3-month 5.32 5.32 5.31 5.32 6-month 5.33 5.32 5.32 5.32 Eurodollar deposits (London) 3 7 1-month 5.32 5.32 5.32 5.32 3-month 5.36 5.36 5.36 5.36 6-month 5.35 5.35 5.36 5.36 Bank prime loan 2 3 8 8.25 8.25 8.25 8.25 Discount window primary credit 2 9 6.25 6.25 6.25 6.25 U.S. government securities Treasury bills (secondary market) 3 4 4-week 4.62 4.56 4.51 4.44 3-month 4.76 4.76 4.76 4.75 6-month 4.82 4.83 4.82 4.82 Treasury constant maturities Nominal 10 1-month 4.72 4.64 4.60 4.53 3-month 4.88 4.88 4.88 4.87 6-month 5.01 5.02 5.01 5.01 1-year 4.88 4.91 4.89 4.90 2-year 4.63 4.68 4.66 4.68 http://www.federalreserve.gov/Releases/H 15/update/ 10/2/2001 FRB: H.15--Selected Interest states, web -Only Uatly update--Neptember zv, zwo rage L of w 3-year 5-year 7-year 10-year 20-year 30-year Inflation indexed 11 5-year 7-year 10-year 20-year Inflation -indexed long-term average 12 Interest rate swaps 13 1-year 2-year 3-year 4-year 5-year 7-year 10-year 30-year Corporate bonds Moody's seasoned Aaa 14 Baa State 5 local bonds 15 Conventional mortgages 16 n.a. Not available. Footnotes 4.54 4.59 4.59 4.60 4.51 4.55 4.56 4.57 4.51 4.55 4.56 4.58 4.56 4.59 4.60 4.63 4.77 4.79 4.81 4.84 4.70 4.71 4.73 4.76 2.32 2.32 2.32 2.33 2.27 2.29 2.29 2.30 2.24 2.25 2.26 2.27 2.22 2.24 2.25 2.26 2.18 2.20 2.21 2.22 5.29 5.30 5.30 5.31 5.06 5.07 5.07 5.10 4.99 5.00 5.01 5.04 4.98 4.99 5.01 5.04 5.00 5.01 5.03 5.06 5.04 5.05 5.07 5.10 5.08 5.10 5.12 5.15 5.21 5.23 5.24 5.28 5.36 5.37 5.38 5.42 6.28 6.30 6.31 6.36 1. The daily effective federal funds rate is a weighted average of rates on broke 2. Weekly figures are averages of 7 calendar days ending on Wednesday of the cur, figures include each calendar day in the month. 3. Annualized using a 360-day year or bank interest. 4. On a discount basis. 5. Interest rates interpolated from data on certain commercial paper trades sett] Depository Trust Company. The trades represent sales of commercial paper by deale issuers to investors (that is, the offer side). The 1-, 2-, and 3-month rates are 30-, 60-, and 90-day dates reported on the Board's Commercial Paper Web page (www.federalreserve.gov/releases/cp/). 6. An average of dealer bid rates on nationally traded certificates of deposit. 7. Bid rates for Eurodollar deposits collected around 9:30 a.m. Eastern time. 8. Rate posted by a majority of top 25 (by assets in domestic offices) insured U. commercial banks. Prime is one of several base rates used by banks to price short loans. 9. The rate charged for discounts made and advances extended under the Federal Re credit discount window program, which became effective January 9, 2003. This rate adjustment credit, which was discontinued after January 8, 2003. For further infc www.federalreserve.gov/boarddoes/press/bcreg/2002/200210312/default.htm. The rate for the Federal Reserve Bank of New York. Historical series for the rate on adju,- http://www.federalreserve.gov/Releases/H I5/update/ 10/2/200f FRB: H.15--Selected Interest Kates, web -Only vaily upaaie--�epwrnDer ty, /.uvU rage J Ul , well as the rate on primary credit are available at www.federalreserve.gov/releaE 10. Yields on actively traded non -inflation -indexed issues adjusted to constant a 30-year Treasury constant maturity series was discontinued on February 18, 2002, on February 9, 2006. From February 18, 2002, to February 9, 2006, the U.S. TreaSL factor for adjusting the daily nominal 20-year constant maturity in order to estj nominal rate. The historical adjustment factor can be found at www.treas.gov/offices/domestic-finance/debt-management/interest-rate/itcompositei Source: U.S. Treasury. 11. Yields on Treasury inflation protected securities ;TIPS) adjusted to constant Source: U.S. Treasury. Additional information on both nominal and inflation-inde> found at www.treas.gov/offices/domestic-finance/debt-management/interest-rate/inc 12. Based on the unweighted average bid yields for all TIPS with remaining terms more than 10 years. 13. International Swaps and Derivatives Association (ISDA(R)) mid -market par swat for a Fixed Rate Payer in return for receiving three month LIBOR, and are based ( at 11:00 a.m. Eastern time by Garban Intercapital plc and published or. Reuters Pe ISDAFIX is a registered service mark of ISDA. Source: Reuters Limited. 14. Moody's Aaa rates rates. As of December 15. Bond Buyer Index, 16. Contract interest ------------------- Note: Weekly and mont Board's historical H. ------------------- through December 6, 2001, are averages of Aaa utility and i 7, 2001, these rates are averages of Aaa industrial bonds general obligation, 20 years to maturity, mixed quality; TI rates on commitments for fixed-rate first mortgaqes. Source -----------------------------------------------------------. ily figures on this release, as well as annual figures avai 15 web site (see below), are averages of business days unle, ----------------------------------------------------------- Current and historical H.15 data are available on the Federal Reserve Board's we) (www.federalreserve.gov/). For information about individual copies or subscripti, Publications Services at the Federal Reserve Board (phone 202-452-3299, fax 202 electronic access to current and historical data, call STAT-USA at 1-800-782-887, Description of the Treasury Nominal and Inflation -Indexed Constant Maturity Serie. Yields on Treasury nominal securities at "constant maturity" are interpolated by from the daily yield curve for non -inflation -indexed Treasury securities. This c the yield on a security to its time to maturity, is based on the closing market actively traded Treasury securities in the over-the-counter market. These market calculated from composites of quotations obtained by the Federal Reserve Bank of constant maturity yield values are read from the yield curve at fixed maturities and 6 months and 1, 2, 3, 5, 7, 10, 20, and 30 years. This method provides a yie maturity, for example, even if no outstanding security has exactly 10 years rema Similarly, yields on inflation -indexed securities at "constant maturity" are int daily yield curve for Treasury inflation protected securities in the over -the -co inflation -indexed constant maturity yields are read from this yield curve at fix currently 5, 7, 10, and 20 years. Weekly release dates and announcements I Historical data I About http://www.federalreserve.gov/Releases/H 15/update/ 10/2/200 FKB: H.1S--Selecteci Interest Kates, web-Vnly LJatty upoate--September 29, 2uub rage + or i Daily update Other formats: Screen reader I ASCI I Statistical releases Horne I k conomic research and data Acccssibil it} I Contact Us Last update: September 29, 2006 http://www.federalreserve.gov/Releases/H15/update/ 10/2/200E Phil Angelides, State Treasurer Inside the State Treasurer's Office j 1nvci]i.11 ,-nt Fui1d (l_NIF) PMIA Performance Report Date Delly Y Quarter to `tteld Average Maturity in da 9/14/2066 5.00 4.91 157 9/15/2006 5.04 4.91 160 9/16/2006 5.04 4.92 160 9/17/2006 5.04 4.92 160 9/18/2006 5.041 4.92 157 9/19/2006 5.04 4.92 156 9/20/2006 5.04 4.92 155 9/21/2006 5.04 4.92 154 9/22/2006 5.05 4.93 156 9/23/2006 5.05 4.93 156 9/24/2006 5.05 4.93 156 9/25/2006 5.06 4.93 151 9/26/2026 5.06 4.93 150 9/27/2006 5.06 4.93 155 LAIF Performance Report Quarter ending 6130106 Apportionment Rate: 4.53% Earnings Ratio: .00012403658695943 Fair Value Factor: .998185821 PMIA Average Monthly Effective Yields Aug 2006 4.946% July 2006 4.849% June 2006 4.700% Pooled Money Investment Account Portfolio Composition $57.0 Billion Corporate BoI 1.29% Commercial Paper 11 69% Time Depo: 14.16% 08/31 /06 Treasuries Loans 4.77% Mortgages •. co.c 1 13%. CDs/BNs 23.00% 4gencies 29.33% § E ; /! | !/ !! \Oi | R ■ /k\k( mGt ` k § f\ k{ )) ]/ ` ) ! ke§§ E2§§ !§ & E©`E( /% ) � wz ` ; § §( kƒ ® ( ;§ �■ �� & 5/0 ,\ ! \§j=le e § \| 5° [ ; /`-§!%\® )/ |J{!# §! |\§!!;)!\�e§!,« 2|! 9 ) ƒkkƒ� |!!$\ 2� \\) §§oulw)u)\§@7§\ INVESTMENT ADVISORY BOARD Meeting Date: TITLE: October 11, 2006 Pooled Money Investment Board Report for July 2006 BACKGROUND: Correspondence & Written Material Item B The Pooled Money Investment Board Report for July 2006 is included in the agenda packet. RECOMMENDATION: Receive & File v / John M. Falconer, Finance Director POOLED MONEY INVESTMENT ACCOUNT SUMMARY OF INVESTMENT DATA A COMPARISON OF JULY 2006 WITH JULY 2005 (DOLLARS IN THOUSANDS) JULY 200611 JULY 2005 CHANGE Average Daily Portfolio $ 59,553,163 $ 56,782,241 $ +3,770,922 Accrued Earnings $ 245,248 $ 146,075 $ +99,173 Effective Yield 4.849 3.083 +1.766 Average Life -Month End (In Days) 164 183 -19 Total Security Transactions Amount $ 30,026,066 $ 18,728,973 $ +11,297,093 Number 622 428 +194 Total Time Deposit Transactions Amount $ 4,697,190 $ 4,221,190 $ +476,000 Number 174 146 +28 Average Workday Investment Activity $ 1,736,163 $ 1,147,508 $ +588,655 Prescribed Demand Account Balances For Services $ 274,403 $ 415,737 $ -141,335 For Uncollected Funds $ 126,059 $ 170,156 $ -44,097 1 PHIL ANGELIDES TREASURER STATE OF CALIFORNIA INVESTMENT DIVISION SELECTED INVESTMENT DATA ANALYSIS OF THE POOLED MONEY INVESTMENT ACCOUNT PORTFOLIO (000 OMITTED) TYPE OF SECURITY Government Bills Bonds Notes Strips Total Government Federal Agency Coupons Certificates of Deposit Bank Notes Bankers' Acceptances Repurchases Federal Agency Discount Notes Time Deposits GNMAs Commercial Paper FHLMC/Remics Corporate Bonds AB 55 Loans GF Loans Reversed Repurchases Total (All Types) July 31, 2006 DIFFERENCE N PERCENT OF PERCENT OF PORTFOLIO FROM AMOUNT PORTFOLIO PRIOR MONTH $ 1,765,463 0 899,647 0 $ 2,665,010 $ 10,089,570 12,787,406 1,160,039 0 0 7,656,165 8,000,495 238 7,589,068 657,900 923,045 8,248,847 0 (248,065) $ 59,519,718 2.97 0.00 1.51 0.00 4.48 16.95 21.49 1.93 0.00 0.00 12.86 13.44 0.00 12.75 1.10 1.56 13.86 0.00 (0.42) 100.00 +0.35 0 -1.01 0.00 -0.66 +1.24 -0.05 +0.14 0.00 0.00 +0.62 +1.04 0.00 5.81 +0.04 +0.12 +3.74 0.00 +0.42 INVESTMENT ACTIVITY JULY 2006 JUNE 2006 NUMBER AMOUNT NUMBER AMOUNT Pooled Money 622 $ 30,026,066 712 $ 34,216,523 Other 4 128,639 58 554,540 Time Deposits 174 4,697,190 173 3,603,500 Totals 800 $ 34,851,795 943 $ 38,374,563 PMIA Monthly Average Effective Yield 4.849 4.700 Year to Date Yield Last Day of Month 4.849 3.873 F Pooled Money Investment Account Portfolio Composition $59.5 Billion Corporate Bonds 1.56% Commercial Paper 12.75% Time Deposits 13.44% 07/31/06 Reverses Treasuries Loans 0.42% 4.48% Mortgages 1.10% CDs/BNs 23.42% Agencies 29.81 % BOARD MEMBER ITEMS