2007 04 11 IABAGENDA
INVESTMENT ADVISORY BOARD
Finance Conference Room
78-495 Calle Tampico- La Quinta, CA 92253
April 11, 2007 - 4:30 P.M.
CALL TO ORDER
a. Pledge of Allegiance
b. Roll Call
II PUBLIC COMMENT - (This is the time set aside for public comment on any matter
not scheduled on the agenda.)
III CONFIRMATION OF AGENDA
IV CONSENT CALENDAR
A. Approval of Minutes of Meeting on March 14, 2007, for the Investment
Advisory Board.
V BUSINESS SESSION
A. Transmittal of Treasury Report for February 2007
B. Continued Consideration of Fiscal Year 2007/08 Investment Policies & Work
Plan Items
VI CORRESPONDENCE AND WRITTEN MATERIAL
A. Month End Cash Report and other selected Financial Data -
March 2007
B. Pooled Money Investment Board Reports - January 2007
VII BOARD MEMBER ITEMS
VIII ADJOURNMENT
P.O. 13oN 1504 • LA QUINTA, CALIFORNIA 92247-1504 �y
78-495 C,kLLE'FAMPrco • LA QUIVIA, CALIFORNIA 92253
(760) 777-7000 •FAX (760) 777-7101
INVESTMENT ADVISORY BOARD Business Session: A
Meeting Date: April 11, 2007
ITEM TITLE:
Transmittal of Treasury Report
for February 28, 2007
BACKGROUND:
Attached please find the Treasury Report February 28, 2007
RECOMMENDATION:
Review, Receive and File the Treasury Report for February 28, 2007
A. Falconer, Finance Director
MEMORANDUM
TO: La Quints City Council
FROM John M. Falconer, Finance Director/rreasurer
SUBJECT Treasurers Report for February 28, 2007
DATE: March 31, 2007
Attached is the Treasurers Report for the month ending February 28, 2007 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
I Sold/Matured
Other
Endinq
Change
Cash (3)
$ 4,962,041
$ 1,019,457
(1)
$ 5,981,498
$ 1,019,457
LAIF
47,636,025
5,050,000
(5,900,000)
0
46,786,025
(850,000)
US Treasuries (2)
115,107.481
439,138
115,546,619
439,138
US Gov't Sponsored Enterprises (2)
34,301,366
(5,000,000)
113,437
29,414,803
14,886,563)
Commercial Paper (2)
18,937,527
12,000,000
(12,000,000)
12,437
18,949,964
12,437
Corporate Notes
2,925,266
3,359
2,928,625
3,359
Mutual Funds
4.184.770
1
1,462,450
2,722,320
1,462,450
Total
$ 228.054,476
$ 18.069,457
$ 24,362,450
$ 568,371
$ 222,329,854
$ 5,724,622
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.
As Treasurer of the City of La Quinta, I hereby certify that sufficient investment liquidity and anticipated
revenues are available to meet the pools expenditure requirements for the next six months The Cityof
La Quinta 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
aohn M. Falconer ate
Finance Directorlrreasurer
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.
2
Treasurer's Commentary
For the Month of February
Cash Balances — The portfolio size decreased by $5.7 million. The major reason for the
decrease was pass through payments totaling $5.5 million made as a result of the property
tax receipts received in January. In addition, the City had $5.98 million on hand as of
February in order to pay a semi-annual debt service payment of $6.1 million due on March 1 ".
Investment Activity — The Treasurer has been increasing the LAIF holdings in February to take
advantage of a 23 basis point advantage over US Treasuries. A FNMA investment matured
February 28`h with the proceeds used to pay in part the aforementioned debt service payment.
As of February 28`h the City did not have any FNMA investments. Mutual funds decreased
$1.462 million based upon low and moderate income payments for the Vista Dunes Project
and Watercolors second trust deeds. The sweep account earned $ 5,375 in cash for the
month. The bank fees for the month were $ 2,011 which resulted in a net increase of
$ 3,364 in real savings.
Portfolio Performance — The overall portfolio performance increased by one (1) basis point and
ended at 5.17% for the month. At the end of February, the portfolio yield was sixteen (23)
basis points over the benchmark which had decreased by three (3) basis points from January.
With the short average maturity of 69 days, the portfolio yield should remain at these levels.
The Treasurer will continue to invest in short term investments based upon the yield curve.
At this time last year, the portfolio was yielding 4.09% and the benchmark was at 4.58% for
a 49 point difference so we have made progress in meeting our benchmark. The Treasurer
has been investing more in LAIF and has not been investing in longer than six months
Treasury securities or in will be investing in longer than six months GSE's based upon the
yield curve to take advantage of yield spreads.
Future Thoughts
The Treasurer will continue to invest in short term maturities to take advantage of the
inverted yield curve — Commercial Paper with 30 to 60 day maturities and Bond proceeds will
be laddered in three and six month Treasury bills as they mature. GSE's may be rolled over
for no longer than one year maturities.
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9
CM of Le Omma
RemnMlaYon W Actual and Surplus Funds
City A9mry and FinanGrp Authority
February 25, 2007
Baldr[»ofAtWal Fun05 222,]29,BSd
Less Petry wilt, Furtic (1900)
LBeaslas nNroomofSSuurqpulus sFFuUn0M5 s E.9,p8,90
City Cash a lnvas9nenb
Bank
NameAvaelaMlll
I Sur 'us
T
M
Suplus
YesW¢Ils
FaryD-C¢mand
No
GM1¢Cknlp
5 -
$Wells
F
FarpoSweep
WellsFraddry
No
Sw0ep
1�01
sn- Demrd,
No
wA
Well, Fa opt -Demand
Yes
CMU.
E 18.286To1aP
Bank AtCOurlra
E 1820d
U S Treasury
CusloOan Ava�la0i
lus
Issuer? a
Amon zed
Value
Stopics
Yes
Ad,Yes
Suglua
BanF of New YOh Den"m
Bankol New York Demand
Bamm New York Demand
Sank0l New York Demand
Bank of New VOM1' Demand
_Sur
56]8,590
8912H1
1119
16,695<99
9)9i,612
5,eJ8590
0,9126d1
9,886,119
Id695,d99
9]9J,661
Yes
Yes
Yes
Yes
yes
US Treasury Bill
US treasury BAl
US Treasury But
US Tttasury 0111
US Treasury Bill
5878590
8,912d01
9,686119
1d,695,d99
9)9]fi12
Total US Treasury09A60,261
49,168,261
d916Q281
Surpus
No
AO
Surplus
No
AY Fun65
Actual%
Suplus
Yes
E J.029,168
E 3.691A16
E 8,920.566
IS
W0
1.W0
E5,983,21d
$ Alai
E 6.9213&
2.001%
00084R
Surplus
No
Aid
Surplus
No
All Funds
Actual %
Suplus
as
221150%
228256%
U $GOremmem $pOrsoretl Eniegnses AmoR¢etl Surplus Suplus Surplus Surplus Ml Funds Surplus
DoslWlam AVdrldblll Sorace Issuer? ¢ Vyce Yea Atl Yea NO Atl No AtWdl% Yes
Ba""d New YOM-LemaW fir Freddie Mac 2,969,954 2969.956 2.969.951 -
BanhOfNew YOM-Demand Yes FHIB 1,996,6]] 19m.6T] 1958,877
::m of New York - Cm eaW Yes FFOB 4W.1]] d,6fdd]J d,869,1]I
Bank of New YOM-Demand Yea Freddie Mac 4i66,860 1,666,640 d.I86,810
Sky nk0l New YOM Demand Yes FHLB ],950,133 ],950,d33
Bank 0 kew YDM-Demand Yea FFCB P912532 4,912.02 1.912.632
Bahr Of New YOM-Opmand Yes FHL MO-Dkcoura Note 21522W 2,152293 2,152290
TOW �U S Gwemmem5acurdr5 20,dA 60J 29d11.Bo3 29,610.B03 133303% 136531%
Medmm BanLkushNia Note lSSlu3
Term uga NO Ad
.AvaBrooks Issm"IT Vau
oNew '
oa
kilaW%na 2928025 -0SuNgalu3 AAlctl FuuarlN%s SuYgelsus
2920825 2,920,825 13A2% 13595%
...., ue.,...., •..., o..... 2928,fi25 2,020,fi25 2,928,825
Prime Comore Dal Paper
CurtOdan-Avauabul
Surplus
IssuerR
Book
Value
Surplus
Yes
Act
Surplus
Yes
Bank of New YOM Oemantl
Yes
bh. Dare Capers, C9q
2981,1]9
2,98t,99
298t1]9
Bank Of New York Demand
Yes
CNGm, FUWLq Im
2,958,ddd
2,988,tld
2980,dU
Bank of New York Demand
Yes
American E.Ma, CRdd
2,9111,Wd
2,994,944
2Wd.9U
Bank ON ew YOM-Demand
Yes
Nes9e Cap.,
998,869
998,869
990,869
Banx of New Tork-demand
Yes
Inkromismal Lease
2,991,909
2996.998
2,99i
BanNOINew York Demand
Yes
ATBT
2,9yi
293d,9Jd
2,9949]d
Bankof New York -Demand
Yes
Gencral Electric Co al
2996,626
3996.626
2996 626
Total-0nme Commemal Pa r
18,9699W
11;919964
18.9d9966
Local Agency Investment Food
$wplue
Surplus
Name-Ava�labibty
5m lus T
Book
Yes
Ad
Yes
WAIF- city -0emand
Yes Stale Pool
33,209,825
33.209023
(950,3W)
33.251,0)5
LAIF- RDA -Demand
yes StNe Pcol
13,5]6200
135)6.2W
t3.5]820]
Toldl - Slaw, Pool
68]efi.025
d6,J0G.o25
958,35o
d5,52].6]5
sort
Na
Act
Surlus
Na
All FUWS
Actual %
Surplus
Yes
85210%
B1972%
Surplus Suplus All FUWS 51-0
NO Ad ND PtNal% Yes
21 C035% 21 2]l8°M1
Total Day lnvnNleMe 1Q,2dT,e]9 1n,247.1 58,]59 11{219.129 6e P2f!% 6]8129%
TOIaI Cie/ Cash 91MFF1nx 15]R29,1T9I 107,20M 9N,]W 1KAOT,84 5,993.21< 9b,]W 6.9215M 58.919]% 6i.9311%
FlFcalA entlnwaMeMs
PmVOIro - CM Investments
Capaphm- Availability
Su Ius
IesUer !
ArroNZW
Value
Surplus
Yes
Ad
Surplus
Yes
T,BJ8.1P
2d,9W.Y12
8.9T],Jfi1
26819,110
7.878,127
26,90),i22
09J],301
red 8191d0
2002 RDA U S Mardi
2030 Fnanre AWwmy LIP
200.d Finance AWpnry-DIP
Year
Ve3
Tas
Ye8
USTreasury B81
US Treasury Bul
USTrea3ury Bell
USTreasu Bell
7,BTB,t27
20,W6.R2
B,BJ3,J61
red 61B,168
2Wd Fort. Arld' -LIP
Tola1-US Treasu
BBAT8,350
W.3]0350
66.3T8,356
POM01io-MWual Funds
T.-Aval,N1
Su a a
MOreY MaMt
MUNdI Fund
Soak
Valw
Surplus
Yea
Ad
Supplaus
Yes
Yes
Cevk Cooler U S Bank Pmpd
YES
ISt American
382
302
]@
Crvlc Career U S Bank -O¢M Svc
YES
1st A
19M RDA U S Bank Debt Svc
YES
I V Am0nwn
1995 RDA U S Bank - CIF
YES
1atAmencaa
1995RDAUSBank-SWOMFUW
YES
1MAmencan
2Wd Fm Auth N%5USBank Eacmw
YES
1M Amsome
1998 ROA U S Bank -CIP
YES
IMAmenUn
1990 RDA U S Bank -Ohl Svc
YES
tilt American
1990 RDA U 5 Bank - Special Food
YES
1sw American
1990RDAUSBank DIP
YES
IMAmeWan
;
2MIRDAUS Bank DMSvc
YES
11Amencan
20o1 RDA U5 Bank -DIP
YES
1st American
;
1
2092 ROA U$Bank -DMSvc
YES
1st AmeRwn
d66.328
d606
32
d8d,328
212 RDA US Bend -CIP
YES
1M American
1
1
2093 Taab ak RDA U S Bank -DS
YES
1st American
1
_
2003 Tweaks RDA U S Bank -COI
YES
11Anerlan
-
2003Taxable RDA U.SSank-CIP
YES
19Amerkan
2,357.61
2,257.611S
225T,885
2CM Fen AM US Bank -CIP
YES
last American
2
2
2004 Fin Audi US Bank -COI
YES
let AmeRcdn
2.M2320
272232,
2,T32,32U
SubIOUI-MNUaI FUW
SwplUs
Np
A
Surplus
No
All FUWS
Adudl %
SROIus
Yes
290550%
J00151%
Surpue
No
"I
$uMus
NO
AIIFUWs
Actual %
Surplus
Yes
12WE%
12638%
Total Fiscal A9aM ImasimarHs
ro,199,a]e x,199,e]e e9,to9,a]e a1.99wx ]29]e9x
Grand Tabl 9IIA39,9511 219 366,6,19 959,350 315,606]90 S,f8J,2H 99E.]W 6,R1,SN iW 80 100.W00% 10
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2
INVESTMENT ADVISORY BOARD
Meeting Date
TITLE:
April 11, 2007
Continued Consideration of Fiscal Year 2007/08
Investment Policies & Work Plan Items
BACKGROUND:
Business Session: B
The Investment Advisory Board has been reviewing the Investment Policies for final
recommendation to the City Council in June 2007. The Investment Policy is
attached for the Board's review.
As a follow-up to last month's review of the Investment Policy, Staff reviewed
Appendix 2: Investment Pool of the Government Finance Officers Association
(GFOA) model investment policy and did not note any changes.
Changes from the previous meeting are attached for the Board's review.
RECOMMENDATION:
Continued review of the Investment policies for approval by City Council in June
John M. Falconer, Finance Director
engagement by the City, except as may be specifically waived or revised, the
professional portfolio managefineift firm or adviser shall commit to adhere to the
provisions of the City of La Quinta Investment Policy. Such managers may be granted
the discretion to purchase and sell investment securities in accordance with this
Investment Policy as outlined in Appendix I. Such managers shall have: (1) an
established professional reputation for asset or investment management; (2)
knowledge and working familiarity with State and Federal laws governing and
restricting the investment of public funds; (3) substantial experience providing
investment management services to local public agencies whose investment policies
and portfolio size are similar to those of the City; and (4) professional liability (errors
and omissions) insurance and fidelity bonding in such amounts as are required by the
City. Such managers shall be registered under the Investment Advisers Act of 1940.
XX INVESTMENT ADVISORY BOARD - CITY OF LA QUINTA
The Investment Advisory Board (IAB) consists of five members of the community that
have been appointed by and report to the City Council. The IAB usually meets on a
monthly basis, but at least quarterly to (1) review at least annually the City's
Investment Policy and recommend appropriate changes; (2) review monthly Treasury
Report and note compliance with the Investment Policy and adequacy of cash and
investments for anticipated obligations; (3) receive and consider other reports provided
by the City Treasurer; (4) meet with the independent auditor after completion of the
annual audit of the City's financial statements, and receive and consider the auditor's
comments on auditing procedures, internal controls and findings for cash and
investment activities, and; (5) serve as a resource for the City Treasurer on matters
such as proposed investments, internal controls, use or change of financial institutions,
custodians, brokers and dealers.
The appendices include City of La Quinta Ordinance 2.70 entitled Investment Advisory
Board Provisions.
XXI INVESTMENT POLICY ADOPTION
On an annual basis, the Investment policies will be initially reviewed by the Investment
Advisory Board and the City Treasurer. The Investment Advisory Board will forward
the Investment policies, with any revisions, to the City Manager and City Attorney for
their review and comment. A joint meeting will be held with the Investment Advisory
Board, City Manager, City Attorney, and City Treasurer to review the Investment
policies and comments, prior to submission to the City Council for their consideration.
The Investment Policies shall be adopted by resolution of the City of La Quinta City
Council on an annual basis. The Investment Policies will be adopted before the end of
June of each year.
AB 943 requires that the Investment Policies be sent to the California Debt and
Investment Advisory Commission within sixty days of a change to the Investment
Policy.
in
Appendix H
Request for Proposals
Investment Advisory Services
City of La Quinta, CA
The City of La Quinta, CA is soliciting Requests for Proposals (RFP) from interested firms
for the provision of a discretionary investment management services for City of La
Quinta, CA. The portfolio to be managed of the invested assets is
ani"OOR # be approximately 10% of the City's investment portfoW net of bond, proceeds
and will be invested between 0 — 5 years.
The investment of City of La Quinta, CA's funds is guided by the applicable State
statutes and the City of La Quinta, CA's investment policy. A copy of the investment
policy is attached for your information.
Questions regarding this RFP should be directed to:
Name:
Title:
City of:
Address:
City, State Zip Code
Phone Number:
John M. Falconer
Finance Director/Treasurer
La Quinta, CA
78-495 Calle Tampico
La Quinta, CA 92253
(760)777-7150
L CRITERIA FOR EVALUATION AND SELECTION
■ Experience of the firm in providing services to public sector entities of
similar size and with similar investment objectives
■ Professional experience and qualifications of the individuals assigned to the
account
■ Portfolio management resources, investment philosophy and approach
■ Responsiveness to the RFP, communicating an understanding of the overall
program and services required
■ Reporting capabilities
■ Fees
II. SELECTION TIMETABLE
A. [Month Day, Year] Proposals due by [Time] PST.
B. [Month Day, Year] Proposals evaluated: to be determined
C. [Month Day, Year] [City of La Quinta, CA] [Board/Council] approves
selection and awards contract.
all
for your latest reporting period in the following table:
Number Operating Funds Number of Other Restrictive
of Clients Clients Funds
Governmental
Governmental
Pension
Non Governmental
Pension
Corporate
High Net Worth Client
EndowmentallFoun-
dation
S
Not
Not cq
Applicable
Not
Not Applicatitp
Applicable
Nat
Not Applical
Applicable,
Not
Appkatk
Not Applicable
Appficable
2. Provide the number of separate accounts whose portfolios consist of
operating funds.
3. List in the following table the percentage by market value of aggregate
assets under all governmental accounts under management for your
latest reporting period:
Type of Asset Percent by Market
Value
U.S. Treasury securities
Federal Agency obligations
Corporate securities rated AAA -AA
Corporate securities rated A
Corporate securities rated BBB or lower
Other
(specify )
[ti
INVESTMENT ADVISORY BOARD Correspondence & Written
Material Item A
Meeting Date: April 11, 2007
TITLE:
Month End Cash Report for March 31, 2007
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.
John M. Falconer, Finance Director
m
m
O O O O O m Q Q
O N O O O
N
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r
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2
Bill Lockyer, State Treasurer
Inside the State Treasurer's Office
Local Agency lnvestrr:=nt Fund (LAIF)
PMIA Performance Report
Data
Degy
YJeld
Quarter to
Date Yield
Average
Maturity
(in days)
3/15/2007
5.21
5.18
179
3/16/2007
5.21
5.18
178
3/17/2007
5.21
5.18
178
3/18/2007
5.21
5.18
178
3119/2 007
5.21
518
175
3/20/2007
5.22
5.18
177
3/21 /2007
5.22
5.18
176
3/22/2007
5.22
5.18
176
3/23/2007
5.22
5.18
177
3/24/2007
5.22
5.18
177
3/25/2007
5.22
5.18
177
3/26/2007
5.22
5.18
173
3/27/2007
5.22
5.18
172
3/26/2007
1 5.221
518
179
LAW Performance Report
Quarter ending 12/31/06
Apportionment Rate: 5.11%
Earnings Ratio: .00013991107557790
Fair Value Factor: .999444427
PMIA Average Monthly Effective Yields
February 2007 5.181%
January 2007 5.156%
December 2006 5.129%
Pooled Money Investment Account
Portfolio Composition
$59.9 Billion
02/28/07
Corporate Bonds
0.86%
Commercial Paper
18 57%
Loans
18 71%
Time Deposits
14.16%
Treasuries
770% Mortgages
1.55%
19 80%
CDs/BNs
18.65%
3
Recent Bill Auction Results
rage 1 oT 1
Tieasurn/ irect.
Recent Bill Auction Results
Security
Issue
Maturity
Discount
Investment
Price
CUSIP
Term
Date
Date
Rate %
Rage %
Per$100
91-DAY
04-05-2007
07-05-2007
4.910
5.055
98.758861
912795ZP9
182-DAY
04-05-2007
10-04-2007
4.870
5.076
97.537944
912795A43
13-DAY
04-03-2007
04-16-2007
5.195
5.292
99.812403
912795TX9
17-DAY
03-30-2007
04-16-2007
5.070
5.167
99.760583
912795TX9
28-DAY
03-29-2007
04-26-2007
5.130
5.236
99.601000
912795ZD6
91-DAY
03-29-2007
06-28-2007
4.925
5.070
98.755069
912795ZN4
182-DAY
03-29-2007
09-27-2007
4.875
5.081
97.535417
912795A35
28-DAY
03-22-2007
04-19-2007
5.140
5.247
99.600222
912795ZC8
91-DAY
03-22-2007
06-21-2007
4.930
5.075
98.753806
912795ZM6
182-DAY
03-22-2007
09-20-2007
4.910
5.119
97.517722
912795A27
28-DAY
03-15-2007
04-12-2007
5.160
5.267
99.598667
912795ZBO
91-DAY
03-15-2007
06-14-2007
4.965
5.112
98.744958
912795ZL8
182-DAY
03-15-2007
09-13-2007
4.920
5.130
97.512667
912795ZZ7
28-DAY
03-08-2007
04-05-2007
5.140
5.247
99.600222
912795ZA2
91-DAY
03-08-2007
06-07-2007
4.965
5.112
98.744958
912795ZKO
182-DAY
03-08-2007
09-06-2007
4.855
5.060
97,545528
912795ZYO
13-DAY
03-02-2007
03-15-2007
5.185
5.281
99.812764
912795YX3
28-DAY
03-01-2007
03-29-2007
5.160
5.267
99.598667
912795YZB
91-DAY
03-01-2007
05-31-2007
5.035
5.185
98.727264
912795Z33
182-DAY
03-01-2007
08-30-2007
4.950
5.162
97.497500
912795ZX2
28-DAY
02-22-2007
03-22-2007
5.175
5.268
99.597500
912795YY1
91-DAY
02-22-2007
05-24-2007
5.035
5.171
98.727264
912795ZH7
182-DAY
02-22-2007
08-23-2007
4.950
5.148
97.497500
912795ZW4
6-DAY
02-16-2007
02-22-2007
5.140
5.216
99.914333
912795YU9
28-DAY
02-15-2007
03-15-2007
5.135
5.227
99.600611
912795YX3
91-DAY
02-15-2007
05-17-2007
5.025
5.160
98.729792
912795ZG9
182-DAY
02-15-2007
08-16-2007
4.965
5.164
97.489917
912795ZV6
28-DAY
02-08-2007
03-08-2007
5.045
5.135
99.607611
912795YW5
91-DAY
02-08-2007
05-10-2007
5.010
5.145
98.733583
912795ZFI
182-DAY
02-08-2007
08-09-2007
4.955
5.153
97.494972
912795ZUB
28-DAY
02-01-2007
03-01-2007
4.885
4.972
99.620056
912795YV7
91-DAY
02-01-2007
05-03-2007
5.010
5.145
98.733583
912795ZE4
182-DAY
02-01-2007
08-02-2007
4.980
5.180
97.482333
912795ZT1
28-DAY
01-25-2007
02-22-2007
4.900
4.987
99.618889
912795YU9
91-DAY
01-25-2007
04-26-2007
4.995
5.129
98.737375
912795ZD6
182-DAY
01-25-2007
07-26-2007
4.965
5.164
97.489917
912795Z53
28-DAY
01-18-2007
02-15-2007
4.895
4.982
99.619278
912795YT2
91-DAY
01-18-2007
04-19-2007
4.975
5.108
98.742431
912795ZCS
182-DAY
01-18-2007
07-19-2007
4.950
5.148
97.497500
912795ZR5
28-DAY
01-11-2007
02-08-2007
4.800
4.885
99.626667
912795YS4
Effective with the 11/2/98 auction, all bills are auctioned using the single -priced method.
4
http://www.treasurydirect.gov/RI/OFBills 4/2/2007
Recent Bill Auction Results
rage i of i
Treasuquirect
Recent Bill Auction Results
Security
Issue
Maturity
Discount
Investment
Price
CUSIP
Term
Date
Date
Rate %
Rate %
Per $100
91-DAY
04-05-2007
07-05-2007
4.910
5.055
98.75B861
912795ZP9
182-DAY
04-05-2007
10-04-2007
4.870
5.076
97.537944
912795A43
13-DAY
04-03-2007
04-16-2007
5.195
5.292
99.812403
912795TX9
17-DAY
03-30-2007
04-16-2007
5,070
5.167
99.760583
912795TX9
28-DAY
03-29-2007
04-26-2007
5.130
5,236
99,601000
912795ZD6
91-DAY
03-29-2007
06-28-2007
4.925
5.070
98,755069
912795ZN4
182-DAY
03-29-2007
09-27-2007
4.875
5.081
97.535417
912795A35
28-DAY
03-22-2007
04-19-2007
5.140
5.247
99.600222
912795ZCB
91-DAY
03-22-2007
06-21-2007
4.930
5.075
98.753806
912795ZM6
182-DAY
03-22-2007
09-20-2007
4.910
5.119
97.517722
912795A27
28-DAY
03-15-2007
04-12-2007
5.160
5,267
99,598667
912795ZBO
91-DAY
03-15-2007
06-14-2007
4.965
5.112
98.744958
912795ZL8
182-DAY
03-15-2007
09-13-2007
4.920
5.130
97.512667
912795ZZ7
28-DAY
03-08-2007
04-05-2007
5.140
5.247
99.600222
912795ZA2
91-DAY
03-08-2007
06-07-2007
4.965
5.112
98.744958
912795ZKO
182-DAY
03-08-2007
09-06-2007
4.855
5.060
97.545528
912795ZYO
13-DAY
03-02-2007
03-15-2007
5.185
5.261
99.812764
912795YX3
28-DAY
03-01-2007
03-29-2007
5.160
5.267
99.598667
912795YZ8
91-DAY
03-01-2007
05-31-2007
5.035
5.185
98.727264
912795Z13
182-DAY
03-01-2007
08-30-2007
4.950
5.162
97.497500
912795ZX2
28-DAY
02-22-2007
03-22-2007
5.175
5.268
99.597500
912795YY1
91-DAY
02-22-2007
05-24-2007
5.035
5.171
98.727264
912795ZH7
182-DAY
02-22-2007
08-23-2007
4.950
5.148
97.497500
912795ZW4
6-DAY
02-16-2007
02-22-2007
5.140
5.216
99,914333
912795YU9
28-DAY
02-15-2007
03-15-2007
5.135
5.227
99,600611
912795YX3
91-DAY
02-15-2007
05-17-2007
5.025
5.160
98.729792
912795ZG9
182-DAY
02-15-2007
08-16-2007
4.965
5.164
97.489917
912795ZV6
28-DAY
02-08-2007
03-08-2007
5.045
5.135
99.607611
912795YW5
91-DAY
02-08-2007
05-10-2007
5.010
5.145
98.733583
912795ZF1
182-DAY
02-08-2007
08-09-2007
4.955
5.153
97.494972
912795ZU8
28-DAY
02-01-2007
03-01-2007
4.885
4.972
99.620056
912795YV7
91-DAY
02-01-2007
05-03-2007
5.010
5.145
98.733583
912795ZE4
182-DAY
02-01-2007
08-02-2007
4.980
5.180
97.482333
912795ZT1
28-DAY
01-25-2007
02-22-2007
4.900
4,987
99.618889
912795YU9
91-DAY
01-25-2007
04-26-2007
4.995
5.129
98.737375
912795ZD6
182-DAY
01-25-2007
07-26-2007
4.965
5.164
97,489917
912795ZS3
28-DAY
01-18-2007
02-15-2007
4.895
4.982
99.619278
912795Yr2
91-DAY
01-18-2007
04-19-2007
4.975
5.108
98.742431
912795ZC8
182-DAY
01-18-2007
07-19-2007
4,950
5.148
97.497500
912795ZR5
28-DAY
01-11-2007
02-08-2007
4.800
4.885
99.626667
912795YS4
Effective with the 11/2/98 auction, all bills are auctioned using the single -priced method.
5
http://www.treasurydirect.gov/RI/0FBilis 4/2/2007
FRB: Commercial Paper Rates and Outstandings
rage i or j
Commercial Pa
Release I About I Announcements I Outstandines I Volume statistics I Year-end I Data Download
Program (DDP)
Data as of March 30, 2007
Commercial Paper Rates and Outstanding
Derived from data supplied by The Depository Trust Company
Posted April 2, 2007
T\-0a vn♦ rn4nc
A2/P2/F2
��
Term
❑�
nonfmancral
nonfmancial
finaneral
asset -backed
1-day
5.39
F 5.52
5.43
7-day
5.29
5.47
5.40
5.25
5.22
1 5.35
5.32
15-day
5.25
30-day
5.23
5.36
5.23
5.30
60-day
n.a.
5.35
5.24
5.26
90-day
n.a.
5.32
of the 00-0av
5.24
AA nonfinancial
5.25
and 90-0ay AA nonfinai
Tr H. data ins,,flicient
to sunnort calculation
Yield curve
icial rates for March 30, 2007.
Money market basis ruwua
— — — AAnonlinan6al
.......... A?FP?J1=2 nomfinanclal
— — AA financial
1 7 15 30 60 w
Bays to Maturity
5.7
5.5
5.3
3.1
6
http://www.federalreserve.gov/Releases/CP/ 4/2/2007
FRB: Commercial Paper Rates and Outstandings
Discount rate spread
2001 2002 2003 2004 2005 2UM
arty -tray comnuawai papa kumiy I
— — — AA nonfinancial
A2tPM nonfinancial
-- AAfin4nA41
._...__. AAs�t-kicbxd
2001 2002 2003 2004 2M5 2UM
Outstandings
Weekly (Wednesday), seasonally adjusted
120
100
80
60
40
20
n
I
4
3
2
1
0
rugv / UL a
7
http://www.federalreserve.gov/Releases/CP/ 4/2/2007
FRB: Commercial Paper Rates and Outstandings
rage -i or �3
Billions of dollars
Billions of dollars
— — — Nonfinancial (right Scale)
'{ --- financial (left scale) i
�IrNLZr ----- Awry-bael.G=I tickt �;rulti-}
! f
l
VJ
� 4
250
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 aoolication. This policy is subject to
change at any time without notice.
Release I About I Announcements I Outstandings I Volume statistics I Year-end Data Download
Program (DDP)
Home I Statistical releases
Accessibility I Contact Us
Last update: April 2, 2007
8
http://www.federalreserve.gov/Releases/CP/ 4/2/2007
FRB: H.15--Selected Interest Rates, Web -Only Daily Update --March 30, 20U7
rage i or 4
Federal Reserve Statistical Release
H.15
Selected Interest Rates (Daily)
Slip to Content
Release Date: March 30, 2007
Weekly_ release dates I Historical data I Data Download Program_(DDP�_I About I Announcements
Daily update Other formats: Screen reader I ASCII
T
The weekly release is posted on Monday. Daily updates of the weekly release are p
through Friday on this site. If Monday is a holiday, the weekly release will be p
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
March
30, 2007
2007
2007
2007
2007
Instruments
Mar
Mar
Mar
Mar
26
27
28
29
Federal funds (effective) 1 2 3
5.28
5.25
5.27
5.29
Commercial Paper 3 4 5
Nonfinancial
1-month
5.23
5.23
5.23
5.24
2-month
5.21
5.21
5.21
5.21
3-month
5.20
5.22
5.20
5.20
Financial
1-month
5.24
5.23
5.25
5.25
2-month
5.23
5.23
5.23
5.22
3-month
5.22
5.22
5.23
5.23
CDs (secondary market) 3 6
1-month
5.29
5.30
5.29
5.30
3-month
5.31
5.30
5.30
5.31
6-month
5.30
5.29
5.28
5.29
Eurodollar deposits (London) 3 7
1-month
5.32
5.32
5.32
5.32
3-month
5.34
5.34
5.34
5.34
6-month
5.32
5.32
5.32
5.32
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
5.14
5.11
5.08
4.95
3-month
4.93
4.93
4.92
4.91
6-month
4.88
4.88
4.87
4.86
Treasury constant maturities
Nominal 10
1-month
5.22
5.20
5.18
5.05
3-month
5.06
5.08
5.06
5.05
6-month
5.09
5.09
5.08
5.06
1-year
4.91
4.91
4.90
4.90
2-year
4.56
4.58
4.53
4.58
41
http://www.federalreserve.gov/Releases/H 15/update/ 4/2/2007
FRB: H.15--Selected Interest Rates, Web -Only Daily Update --March 3U, LUU /
rage / of 4
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
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 & local bonds 15
Conventional mortgages 16
4.50
4.51
4.49
4.52
4.48
4.50
4.50
4.53
4.51
4.53
4.53
4.55
4.60
4.62
4.62
4.64
4.86
4.89
4.90
4.90
4.79
4.81
4.83
4.83
2.00
1.99
1.98
2.00
2.11
2.10
2.11
2.12
2.16
2.16
2.17
2.18
2.26
2.27
2.30
2.30
12 2.25
2.25
2.28
2.28
5.22
5.23
5.20
5.23
4.96
4.97
4.92
4.99
4.89
4.91
4.85
4.93
4.90
4.92
4.87
4.94
4.92
4.95
4.90
4.97
5.00
5.03
4.99
5.05
5.10
5.14
5.10
5.16
5.31
5.36
5.34
5.38
5.36 5.39 5.41 5.41
6.35 6.38 6.40 6.38
4.25
6.16
Footnotes
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 curr
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 settl
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 info
www.federalreserve.gov/boarddocs/press/bcreg/2002/200210312/default.htm. The rate
for the Federal Reserve Bank of New York. Historical series for the rate on adjus
well as the rate on primary credit are available at www.federalreserve.gov/releas
10
http://www.federalreservc.gov/Releases4ll5/update/ 4/2/2007
FRB: H.15--Selected Interest Rates, Web -Only Daily Update --March 30, 2OU7 rage j or 4
10. Yields on actively traded non -inflation -indexed issues adjusted to constant m
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. Treasu
factor for adjusting the daily nominal 20-year constant maturity in order to esti
nominal rate. The historical adjustment factor can be found at
www.treas.gov/offices/domestic-finance/debt-management/interest-rate/ltcompositei
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 -index
found at www.treas.gov/offices/domestic-finance/debt-management/interest-rate/ind
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 swap
for a Fixed Rate Payer in return for receiving three month LIBOR, and are based o
at 11:00 a.m. Eastern time by Garban Intercapital plc and published on Reuters Pa
ISDAFIX is a registered service mark of ISDA. Source: Reuters Limited.
14. Moody's Aaa rates through December 6, 2001, are averages of Aaa utility and A
rates. As of December 7, 2001, these rates are averages of Aaa industrial bonds o
15. Bond Buyer Index, general obligation, 20 years to maturity, mixed quality; Th
16. Contract interest rates on commitments for fixed-rate first mortgages. Source
---------------------------------------------------------------------------------
Note: Weekly and monthly figures on this release, as well as annual figures avail
Board's historical H.15 web site (see below), are averages of business days unles
Current and historical H.15 data are available on the Federal Reserve Board's web
(www.federalreserve.gov/). For information about individual copies or subscriptio
Publications Services at the Federal Reserve Board (phone 202-452-3244, fax 202-7
electronic access to current and historical data, call STAT-USA at 1-800-782-8872
Description of the Treasury Nominal and Inflation -Indexed Constant Maturi
Yields on Treasury nominal securities at "constant maturity" are interpolated by
from the daily yield curve for non -inflation -indexed Treasury securities. This cu
the yield on a security to its time to maturity, is based on the closing market b
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 yiel
maturity, for example, even if no outstanding security has exactly 10 years remai
Similarly, yields on inflation -indexed securities at "constant maturity" are inte
daily yield curve for Treasury inflation protected securities in the over-the-cou
inflation -indexed constant maturity yields are read from this yield curve at fixe
currently 5, 7, 10, and 20 years.
Weekly release dates I Historical data I Data Download Program (DDP)J About I Announcements
Daily update Other formats: Screen reader I ASCII
11
http://www.federalreserve.gov/Releases/Hl5/update/ 4/2/2007
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12
INVESTMENT ADVISORY BOARD
Meeting Date:
TITLE:
April 11, 2007
Pooled Money Investment Board Report
for January 2007
BACKGROUND:
Correspondence
& Written Material Item B
The Pooled Money Investment Board Report for January 2007 is included in the
agenda packet.
RECOMMENDATION:
Receive & File
John M. Falconer, Finance Director
POOLED MONEY INVESTMENT ACCOUNT
SUMMARY OF INVESTMENT DATA
A COMPARISON OF JANUARY 2007 WITH JANUARY 2006
(DOLLARS IN THOUSANDS)
JANUARY200711 JANUARY2006 CHANGE
Average Daily Portfolio
$ 57,956,340 $
58,086,223 $
-129,883
Accrued Earnings
$ 253,783 $
195,101 $
+58,682
Effective Yield
5.166
3.955
+1.201
Average Life -Month End (In Days) 183 175 +8
Total Security Transactions
Amount
$ 24,806,849
$
21,902,735
$
+2,903,114
Number
534
457
+77
Total Time Deposit Transactions
Amount
$ 5,817,500
$
4,839,190
$
+978,310
Number
211
182
+29
Average Workday Investment Activity
$ 1,468,255
$
1,337,096
$
+121,159
Prescribed Demand Account Balances
For Services
$ 248,440
$
332,791
$
-84,351
For Uncollected Funds
$ 220,261
$
163,896
$
+56,365
1
BILL LOCKYER
TREASURER
STATE OF CALIFORNIA
INVESTMENT DIVISION SELECTED INVESTMENT DATA
ANALYSIS OF THE POOLED MONEY INVESTMENT ACCOUNT PORTFOLIO
(000 OMITTED)
JANUARY 31, 2007
DIFFERENCE IN
PERCENTOF
PERCENT OF
PORTFOLIO FROM
TYPE OF SECURITY
AMOUNT
PORTFOLIO
PRIOR MONTH
Government
Bills
$
4,613,865
7.73
+1.37
Bonds
0
0.00
0
Notes
0
0
Strips
0
0.00
0
Total Government
$
4,613,865
7.73
+1.37
Federal Agency Coupons
$
9,850,175
16.61
-0.19
Certificates of Deposit
10,818,340
18.12
-2.31
Bank Notes
1,075,018
1.80
-0.15
Bankers' Acceptances
0
0.00
0
Repurchases
0
0.00
0
Federal Agency Discount Notes
5,481,146
9.18
-0.59
Time Deposits
8,599,495
14.41
-0.52
GNMAs
223
0.00
0
Commercial Paper
9,329,035
15.63
+2.08
FHLMCIRemics
945,480
1.58
-0.11
Corporate Bonds
609,442
1.03
+0.06
AB 55 Loans
8,363,448
14.01
+0.70
GF Loans
0
0.00
-0.34
Reversed Repurchases
0
0.00
0
Total (All Types)
$
69,685,667
100.00
INVESTMENT ACTIVITY
Pooled Money
Other
Time Deposits
Totals
PMIA Monthly Average Effective Yield
Year to Date Yield Last Day of Month
JANUARY 2007
NUMBER AMOUNT
534 $ 24,805,849
1 117
211 5,817,500
746 $ 30,623,466
N%Vfj
5.044
2
DECEMBER 2006
NUMBER
AMOUNT
634
$ 30,236,268
55
1,264,836
173
3,380,500
862 $ 34,871,603
5.129
5.025
Pooled Money Investment Account
Portfolio Composition
$59.7 Billion
01 /31 /07
Corporate B,
1.03%
Commercial Paper
15.63%
Time D
14.�
Treasuries
Loans 7.73016 Mortgages
CDs/BNs
19.92%
Agencies
25.69%
BOARD MEMBER ITEMS