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2007 05 09 IABAGENDA INVESTMENT ADVISORY BOARD Finance Conference Room 78-495 Calle Tampico- La Quinta, CA 92253 May 9, 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 April 11, 2007 for the Investment Advisory Board. V BUSINESS SESSION A. Transmittal of Treasury Report for March 2007 B. Continued Consideration of Fiscal Year 2007/08 Investment Policies VI CORRESPONDENCE AND WRITTEN MATERIAL A. Month End Cash Report and other selected Financial Data - April 2007 B. Pooled Money Investment Board Reports on Hand for Review — February 2007 VII BOARD MEMBER ITEMS VIII ADJOURNMENT P.O. Box 1504 • LA QUIN'rA, CALIFORNIA 92247-1504 78-495 CALLr T.anieico • LA QUINTA, CALIFORNIA 92253 (760) 777-7000 •FAX (760) 777-7101 4 INVESTMENT ADVISORY BOARD Business Session: A Meeting Date: May 9, 2007 ITEM TIT[ F- Transmittal of Treasury Report for March 2007 BACKGROUND: Attached please find the Treasury Report March 2007 This month the Staff report contains a commentary section from the Treasurer. Staff has not considered this a part of the Treasurers Report at this time to allow for discussion by the Board on its merit. RECOMMENDATION: Review, Receive and File the Treasury Report for March 2007 I � ohn M. Falconer, Finance Director c&ht 4 4 Q" MEMORANDUM TO 'La Quinta City Council FROM: John M. Falconer, Finance Director/Treasurer SUBJECT: Treasurers Report for March 31, 2007 DATE. April 30, 2007 Attached is the Treasurer's Report for the month ending March 31, 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 Sold/Matured Other Endinq Change Cash (3) $ 5,981,498 (1) $ (5,586,536) $ 394,962 $ (5,586,536) LAIF 46,786,025 5,150,000 (21,100,000) 0 30,836,025 (15,950,000) US Treasuries (2) 115,546,619 31,000,000 (34,000,000) 105,555 112,652,174 (2,894,445) US Gov't Sponsored Enterprises (2) 29,414,803 121,750 29,536,553 121.750 Commercial Paper 12) 18,949,964 12,000,000 (16,000,000) 13,528 14,963,492 (3,986,472) Corporate Notes 2,928,625 3,719 2,932,344 3,719 Mutual Funds 2,722,320 1,924,832 1 4,647,152 1,924,837 Total $ 222.329.854 $ 50,074,832 $ 76,686,536 $ 244,552 $ 195.962,702 $ 26,367.152 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 Quints, I 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 Qunta 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. ,�* M I 4/ 3 o/Zvo7 John 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. FFA Treasurer's Commentary For the Month of March Cash Balances - The portfolio size decreased by $26.3 million. The major reason for the decrease was the semi-annual debt service payment of $6.1 million due on March Vt and a property purchase of $20.0 million for the Mazella property on March 161" Investment Activity - The Treasurer used available LAIF funds to purchase the Mazella property, which is just west of the Costco building and just east of the Chevron along Highway 111. In addition, maturing U.S. Treasury Bills were reinvested for three months instead six months to take advantage of a slightly better yield. Also, mutual fund holdings with the bond trustee ,U.S. Bank, were increased to pay for expected disbursements for the Vista Dunes and Watercolors Affordable Housing projects. The sweep account earned $ 10,078 which is greater than normal because of outstanding pass through checks not being promptly cashed. The bank fees for the month were $ 2,038 which resulted in a net increase of $ 8,040 in real savings. Portfolio Performance - The overall portfolio performance decreased by two (2) basis points and ended at 5.15% for the month. This was primarily due to the greater amount invested in mutual funds at the end of March, yet the portfolio yield was sixteen (27) basis points over the benchmark which had decreased by three (7) basis points from February. With the short average maturity of 67 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 4.31 % and the benchmark was at 4.63% for a 32 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, which have been rolled over for six months may be rolled over for a longer one year term to increase the average maturity since rates appear to be gradually trending downward. 3 � } !, _ 0 | ■£) |! 2 F 2 „) E G T :-] E ,i ! !!. , , - _ \ 8 _ f f wE 2 )| ; ; \ ! §® ) \ \ \ \ (\\ ) ( \ § ( ) $ ) ®§!§§ !!§ ! 2 !!zf°;! A!|§!\!! 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No CMcknp $ (a88158) WeusFv90 Sweep NO Sweep 059,15fi - - n PenYCas OemaN NO NIA IOCO We16 Farg0Mousrg_ Demarrl_ Yes_ + 4_ CMdm Y R982 f 3U.2 Y ]2962 f J91962 f ]2962 i 5 J2,982 ,Nwa Bank Acwunls U 5 Treawry Ananrte0 SuylUs Sirs. CualWun-AvallabW 5LZ rR a VaNs Yee Ail Yee BankdNew Yrk-Dwasrd Y.11 6,9M 02(I S,Boll 5,9D1.M0BeakofNewYoh-Demo'YN6,950,6]i =6T1 8,950BNk sNawVrk-Cen.q Yes 9,926,]02 9,925,382=DemrtlYeeltl 11,]59,Y)B 1l,]582T9 11,)502]9 BaMPffMwYoh-DemaN Yesik 9810 W1 BNOOo1 8sell Tob1 US Treaty l8,]W,]58 18 J80.558 lB,3B0,356 USGOwmmeM SlmRmrrl Erlbgr'mes AmONxetl Supka CsbOI.- AvaIMOk 5 I. Ma.1R Vake YN M Be*PfNewYPh-Deytl Ye Fredde, M 3.MAIN 2.Po2,90 Bdnk0lNexYrk-DalwkI Yes FHLB 1,9,93) 1.i1933 BM01Yk-O Ye FFCB 16860.1 1,65 BNVYwrkk0amrwtl NNeeww Ye FMOe Mac 4.166211 1,1N211 ]7M,M5 NMoNewYw-DemrW FHLB 7,985,355 7,91 NrIkb0l YN FFCB 1,831,299 1,931259 Bake""iYrk-DDw Yes -DismalNMe 2,INA11 21W111 Tonal -US GowmmeMSe NSEENSNeENn Term Nwe Bmk Suns. Septa C.kiden gtlabllM 5 'us IswerR VdIVe Yes A6 Yea Nd W New Yod-Cemyq Yes Gare2lEkclnc Ca aal 393I311 2,9]3311 2932 L1 _ TnUal MN um iermP 29]231I1 1 2933344 2B322U Pnme COmme¢idl Pdper BOok SYrsOs Suglus Lusr00ian A""tay_ Ssus�_ Issuer/Ty a Valm Yez AO Yes _ Baw of New Yoh Demarq Yes bnn pure Capnal Corp 2991A39 299141. 2,9966]9 BdnF of New YOM1-OemaM Yes AVOn Capnal 2.9898f] 298981] 2969,81] BanF OI New YOh. pemvq Yez Amer¢dn EaWeae CreN 29&,4] 2,99e.52] 3.99y53] Bank 0l New Yon D... Ye5 Emerwn Ektlnc CO T.996212 3,995,N2 2.242 Bank 0l New YO. Dema. Yes Geronl EleMCCa Ral 396616] LB9016] 2.938,167 TOlal. Fmm COmrMraal Pa t 11.963 <92 tl,9SJ,692 14 RGI4 2 LONI Apermy _ SugWs AveAmeMFUM NarM-AvaN Su Iu5 Type, Bmk YN M Yew Yea UIF- Cky-DemaM Yea Slab Paol 1],]59,525 1T,T5B,635 1P8,665) 1],Slo,1l9 V.F-RDA-Cemrtl 1'¢s Sbb Pool 1]OT8200 IS U1. 2. 1]Oi20o TOW-Sbb Pm _ J9,B]6,025 JO NB,025 219685 JO,618,Jdo 5ugW5 µd A6 SwpNrs W A9 Fuels A,AA, Slg-a Yes S p98.158) 5 1.Om.Nt f SBo.NS 8.59.156 1059.156) 1,OCo 1 W0 5 382.OW S 219685 5 581,885 OSNS% 0.e1N% SWMus Np M SurseW NU An Fuelb AdNNI% Suglus Yes 2519M 252739% Surplus No AE SugWc No AN FUN, Actual% SuRA. Yes 1SMS% 15117I% $ugWa No AJ SugWc Np A9 FUNs PWH% Sugl. Ves n9ux 1 s696v. Suglus- No AUJI Suglus No A9FUMs 1.1%1 Surpl. Yes $Uql. No M Suryl. No Atl Fuss Actual% Suglus Yes - 1573AYa 156T01% Twal CBY braaMenb t2T,6N,T]0I 12],6N,T)0 1 (21I.SkellH),119,085 - 88.1]98% 653308% TWI Chy Cash 81nvasbreeb 136,N],]II1 12],6111,7]3 319.60541 1 ]62000 218,665 561,N5 fi6.LM% 65.2nrn Pgtlolb.CA, lmlSbrewa GMgUn-AvaNabf S . Isna a AmNm] Vs. $ugAK YN Sins. Yea ],811,ml ).911.581 2Po2 RM USBMF{IP VN USTeal 80 ].911.561 3WI FubnM ANMIiIy LIP Yes USTrasury BJl 21.]J8,3B3 21,i]6,392 21)b,J93 2002 RM VS SanFLIP Yes USTRdeury BW B.W0238 B,91p,236 B,80J236 2001 Fines AU6rorev LIP Yes U S Tnaw BR 21.M .6 9 31 ]YJ.629 2l,]23639 Total -U Takes,63,3]1 B18 632)1all, 63.271,018 Pmllolp-,,U.,wtls irusbe Arain0il Su ua Morey Mrkei Mutual FuN Bmk Value Suns. Yes An SUvUa Yes Gwc CerMrU3Bank-PmIM YES 151Ammrwn 303 SID 302 Cwm OewecU S Bank - Leas Svc YES Ist Amerman " 199l RDA U S BaSvc YES iAAnenran " I SEE DAUSBaNnkAebl -CUP YES 1Mainelica 1995 RDA U S Bank - SlrnUal FUN YES tAAmern 2001Fn AWN t985USO.t.E. YES 11A.. t998 RM U S Bank -CIP YES tat Amman 1998 RDA U S Beek - DM Svc YES 1st Ameman INS. RDA U S Bard. S,Pal Fuel YES 1w Ane. 19N RMU SBank -CIP YES ZARIN, 20.RDAUan .S Sk-Gb1Svc YES 1wMerbn MIRDAUS Bank-CIP YES lYAmerial 2(MRDAU$Bank-DOISvc YES tYRaw. - - " 2002ROAUS. Sal-CIP YES Iw ADes""" 139,N8 Iri.OJB 629,0]8 MT."RMU.S SUNNI YES 19A.,kan 2003 Taxable MAU S Sal YES 1MAR's. 20NTNxk%w RDAU S Sardi YES tw Amarlmn - MFmAWBUSBaN-LIP YES 19A.. 1.217,812 1217,812 1,217.012 20NFMAMUSNM-COI YES 1sl Amerman SUMwaI-MNudI FUN 4.61 LB1 - 1,6Q,152 SugM Ion "I Sus. W MFew. AekAN% Suns. YN 3328)]% ]23830% SuryWs No Mi Suryle, NO AN FUN. A[wal% Smsus Yes Total FIwI ABew UnvesOmMs 8),915,910I i)81SA]0 8],918.8TI1 M6N1X ]ISQ]% Gnu Total 1959N.1031 19S,6N,702 1 MIAMI195,]i1,W) 3Q.ON 318.fiN N1,6N 100.00 1W.0000% 10 \. �_wo --� --may 0. 0—� � , -(©{ |ffEa ffli{ -F!i} WOW \\\ \\\\�! \///}! \\k/ƒ! \\\\�! B0 \}kj\! _\\}}! {)\ }\)§{k\/\f\ )}!|!! )k)k!\)/!7�§ § \ 2 { £ 0 } ! ! � | ) ) � ! ] | k § � $ E a 41 $ ! ! k � f E t ! z k� � ■2 �{&2 ! 7 77$ ! e,o 608 ! k § @ K ® K 0 § j \ \ 0 IL INVESTMENT ADVISORY BOARD Business Session No. B Meeting Date: May 9, 2007 TITLE: Continued Consideration of Fiscal Year 2007/08 Investment Policies BACKGROUND: Pursuant to State Legislation the City investment policies must be approved on an annual basis by the City Council. This approval is done in June of each year. During a recent trade, a broker asked if the City could purchase a callable Freddie Mac bond in which the call date had expired. He stated that from an industry perspective this callable bond was now considered a bullet instrument. I told the broker that I would bring this issue up to the Board for discussion. RECOMMENDATION: Continued review of the Investment policies for approval by City Council in June 2007 John M. Falconer, Finance Director INVESTMENT ADVISORY BOARD Correspondence & Written Material Item A Meeting Date: May 9, 2007 TITLE: Month End Cash Report, April 2007 and Other selected Financial Data 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. M, /'Xt-A� Falconer, Finance Director Y n m N VO Y. N -oO N Q p b 0 mW pmj N Ow) fQ0 tm+f W W n Q O O f0 w' n �vvm n NNNQeN-�NNQ Oj O O 0 O b N m m W r n a o 00 0o b W n w Q�nw `mm o o W moo n "� Z jm w of mmNmo'2a �_ y> m o m m m m VI b b N N N N O m o O o p m b m W N O b O b O O O O b w m of 00 w O O IY NON N O O O O b >O m wN N N w N a m m of o m w- _ O O! Q =Q v Q o w m', R W m w m w rn LL y a N N W w O W N N O O O O m N m b m n Q N O Q a Cu W mn o L — WIN O m b m b w W n O N j U W N N N W v v n n n n > z E a O I E o x W q a m M a n LL O N 0 y N U N n U r a Q. MOC2m'"a = a a 0 m m a n n m N y mrK 3m d'9 Ys� N n c 2 m a c N m c '0 N n a mt5N a m D a y �tic' c t 3 �i 0 D a o ° ni �' a 'm m m a ¢ o: c D LL a m g a Ti o a o a a n a v omorF35'a a'a.w ¢3 a w I¢mOzo-,LLi¢s-�N C a c v C C a Y0. N a �+ Co N N c LL � a F S �ry g n y a � N C c Y a o v n m a c c L r � Dq T o D m � a _ d Q O L a a N a 'E � Co L 6 o a n o 'o d N a °Ea L 6 'w a T a9 r � N 6 a n v3 � y C N N a N a U L S T U � a w a C N C N O E 6 a _T LL S Ly D ai O� N C E ¢ n o a Y m a U J a � N a 6 Q wr a o E c `yn dN L a L > 8 r n r 5 P U W Bill LockyerState Treasurer Inside the State Treasurer's Office Local Agency 9nvestrnenf Fund (LAIF) PMIA Performance Report Vote Daily Yield Quarter to, Date Yield A1"'age Maturity fmdaye 4/12/2007 5.21 5.21 177 4/13/2007 5.21 5.21 178 4/14/2007 5.21 5.21 178 4/15/2007 5.21 5.21 178 4/16/2007 5.221 5.21 175 4/17/2007 5.221 5.21 176 4/18/2007 5.221 5.21 176 4/19/2007 5.22 5.22 177 4/20/2007 5.23 5.22 179 4/21/2007 5,231 5.22 179 4/22/2007 5.231 5.22 179 4/23/2007 5.23 5.22 176 4/24/2007 5.23 5.22 177 4/25/2007 5231 5.221 176 Corporate Bc 0.72% Commercial 16 160A LAIF Performance Report Quarter ending 3131/07 Apportionment Rate: 5.17% Earnings Ratio: .00014178008655639 Fair Value Factor: .999717479 PMIA Average Monthly Effective Yields March 2007 5.214% February 2007 5.181% January 2007 5.156% Pooled Money Investment Account Portfolio Composition $59.6 Billion 03/31/07 Reverses Treasuries -0.50% 6.42% Mortgages 1.53% Time Deposits 14 28% gencies 19.85% 1BNs i8% Recent Bill Auction Results 0 Recent Bill Auction Results Security Issue Maturity Discount Investment Price CUSIP Term Date Date Rate N. Rate W. Per $100 28-DAY 04 26-2007 05-24-2007 4.825 4.924 99.624722 912795Z117 91-DAY 04-26-2007 07-26-2007 4 835 4.976 98.777819 912795Z53 182 DAY 04-26-2007 10-25-2007 4.835 5.039 97,555639 912795A76 28-DAY 04-19-2007 05-17-2007 4.840 4.939 99.623556 912795ZG9 91-DAY 04-19-2007 0/-19-200/ 4 865 5.008 98,770236 912795ZR5 187 DAY 04-19 2007 10 18-2007 4.865 5..071 97 540472 912795A68 5-DAY 04-13-2007 04-18-2007 5 210 5.301 99.927639 912795TZ4 9-DAY 04-12-2007 04-17-200/ 5.230 5.321 90,921361 912795TY7 28-DAY 04-12-2007 05-10-2007 4.895 4.996 99.619278 912795ZF1 91-DAY 04-12-2007 07-12-2007 4.880 5.023 98.766444 912795ZQ7 182-DAY 04-12-7007 10-11-2007 4 890 5.098 97,527833 912795A50 12-DAY 04-05-2007 04-17-2007 5.200 5.296 99.826667 912795TY7 28-DAY 04-05-2007 05-03-2007 5.060 5.165 99,606444 912795ZE4 91-DAY 04-05-2007 07-05-2007 4.910 5055 98 758861 912795ZP9 182-DAY 04-05-2007 30-04-2007 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 9177957N4 182-DAY 03-29-2007 09-27-2007 4.875 5.081 97.535417 91279SA35 28-DAY 03-22-2007 04-19-2007 5.140 5.247 99,600222 9127957c8 91-DAY 03-22-21007 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 5 767 99 598567 9127957a0 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-ZO07 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 03-01-200/ 03-29-200/ 5.160 5.261 99,598667 912/95YZB 91-DAY 03-01-2007 05-31-2007 5.035 5.185 98.727264 912795ZJ3 182-DAY 03-01-2007 08-30-2007 4.950 5.162 97.4975D0 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 08-23-2001 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 S 160 98,729792 912795ZG9 182-DAY 02-15-2007 08-16-2007 4.965 5 164 97.489917 912795ZV6 Effective with the 11 /2/98 auction, all bills are auctioned using the single -priced method. http://www.treasurydirect-gov/RI/OFBills 4/27/2007 FRB: H.15--Selected Interest Rates, Web -Only ljauy upaate--Hpnt /o, /UU/ rar'� 1 V1, Federal Deserve Statistical Release H.15 Selected Interest Rates (Daily) 11,1r t„ k"'W"111 Release Date: April 26, 2007 Weekly release dates I 1 listorical data I Data Download Program (DDP) I About I Announcements Daily update Other formats: Screen reader ASCII 9k Data Download 2inIProgram 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 April 26, 2007 2007 2007 2007 Instruments Apr Apr Apr 23 24 25 Federal funds (effective) 1 2 3 5.23 5.20 5.19 Commercial Paper 3 4 5 Nonfinancial 1-month 5.22 5.24 5.24 2-month 5.21 n.a. 5.21 3-month n.a. n.a. n.a. Financial 1-month 5.24 5.25 5.25 2-month 5.24 5.23 5.24 3-month 5.23 5.23 5.23 CDs (secondary market) 3 6 1-month 5.28 5.29 5.28 3-month 5.31 5.31 5.31 6-month 5.31 5.31 5.31 Eurodollar deposits (London) 3 7 1-month 5.32 5.32 5.32 3-month 5.35 5.35 5.35 6-month 5.35 5.35 5.34 Bank prime loan 2 3 8 8.25 8.25 8.25 Discount window primary credit 2 9 6.25 6.25 6.25 U.S. government securities Treasury bills (secondary market) 3 4 4-week 4.83 4.83 4.84 3-month 4.85 4.84 4.83 6-month 4.84 4.83 4.83 Treasury constant maturities Nominal 10 1-month 4.93 4.92 4.94 3-month 4.98 4.98 4.97 6-month 5.04 5.03 5.03 1-year 4.90 4.88 4.90 2-year 4.62 4.58 4.63 http://www.federalreserve.gov/Releases/H15/update/ 4/27/2007 FRB: Commercial Paper Rates and vutstanamgs rage i vi � Federal Reserve Release Release I About I Announcements I Clutstandings I Volume statistics I Year-end I Data Download Program (DDP) Data as of April 26, 2007 Commercial Paper Rates and Outstanding Derived from data supplied by The Depository Trust Company Posted April 27, 2007 Discount rates 7Termnonfinancial AA A2/P2/F2 nonfinancial AA financial AA asset -backed 1-day 5.24 5.30 5.23 5.26 7-day 5.23 5.33 5.23 5.27 15-day 5.20 5.31 5.23 5.28 30-day 5.23 5.33 5.23 5.28 60-day 5.20 5.31 5.23 5.26 90-day 5.22 5.30 5.23 5.25 Yield curve Money market basis --- AA nonlinencial ........... A2dP2/F-2 nonfinancial --^ AA Iinanc A 1 7 15 30 Discount rate spread Days to Maturity 60 Percent 101 5.3 5.1 http://www.federaireserve.gov/Releases/CP/ 4/27/2007 FRB: Commercial Yaper Kates ana uutstanamgs rase c VI � 2001 2002 2003 2004 2005 2006 2001 2002 2003 2004 2005 20M Outstandings Weekly (Wednesday), seasonally adjusted 120 100 &0 60 44) 20 0 2007 V 5 4 3 I 0 2007 http://www.federalreserve.gov/Releases/CP/ 4/27/2007 FRB: Commercial Faper Kates ana umstanatngs 1090 1040 990 940 890 840 790 740 690 640 590 540 490 Billions of dollars Billions of dollars � --- Vnmiinamciaitn4=hl .c,ylcr L:9r*::r€et i t r r .w.1t�,J a we �4 �}•l t'�� I�."Of tu�tt, `Vu,dt I F w t L 5t . rt tiny t � 2001 2002 2003 2004 2005 �2u06 250 210 170 130 —1 90 2007 The daily commercial paper release will usually be available before 11:OOam 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 Announcements Outstandings I Volume statistics Program (DDP) Home I Statistical releases Accessibility I CoutactUs Last update: April 27, 2007 Year-end I Data Download http://www.federalreserve.gov/Releases/CP/ 4/27/2007 FRB: H.15--Selected Interest Kates, wet)-unly uauy upuate--Hprii 41, wv I . ar". Federal Reserve Statistical Release H.15 Selected Interest Rates (Daily) Release Date: April 27, 2007 Weekly release dates I I Iistorical data I Data Dotinload Program (DDP) About Announcements Daily update Otherformats: Screen reader I ASCII �{�� Data Download H t� Program 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 April 27, 2007 2007 2007 2007 2007 Instruments Apr Apr Apr Apr 23 24 25 26 Federal funds (effective) 1 2 3 5.23 5.20 5.19 5.24 Commercial Paper 3 4 5 Nonfinancial 1-month 5.22 5.24 5.24 5.23 2-month 5.21 n.a. 5.21 5.20 3-month n.a. n.a. n.a. 5.22 Financial 1-month 5.24 5.25 5.25 5.23 2-month 5.24 5.23 5.24 5.23 3-month 5.23 5.23 5.23 5.23 CDs (secondary market) 3 6 1-month 5.28 5.29 5.28 5.29 3-month 5.31 5.31 5.31 5.31 6-month 5.31 5.31 5.31 5.31 Eurodollar deposits (London) 3 7 1-month 5.32 5.32 5.32 5.32 3-month 5.35 5.35 5.35 5.35 6-month 5.35 5.35 5.34 5.35 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 4.83 4.83 4.84 4.81 3-month 4.85 4.84 4.83 4.82 6-month 4.84 4.83 4.83 4.84 Treasury constant maturities Nominal 10 1-month 4.93 4.92 4.94 4.91 3-month 4.98 4.98 4.97 4.96 6-month 5.04 5.03 5.03 5.04 1-year 4.90 4.88 4.90 4.92 2-year 4.62 4.58 4.63 4.67 http://www.federalreserve.gov/Releases/H 15/update/ 4/27/2007 FRB: H.15--Selected Interest Kates, web -linty Daily upme--Aprn /i, wvi 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 & local bonds 15 Conventional mortgages 16 n.a. Not available. 4.55 4.52 4.55 4.60 4.55 4.51 4.55 4.59 4.57 4.54 4.57 4.61 4.66 4.63 4.66 4.69 4.91 4.88 4.91 4.95 4.83 4.80 4.83 4.87 2.09 2.09 2.10 2.13 2.19 2.15 2.16 2.19 2.25 2.21 2.22 2.26 2.33 2.32 2.34 2.37 2.32 2.30 2.33 2.35 5.29 5.25 5.27 5.31 5.04 4.98 5.00 5.06 4.97 4.92 4.93 5.00 4.98 4.93 4.94 5.01 5.02 4.96 4.98 5.04 5.09 5.03 5.05 5.11 5.19 5.14 5.15 5.21 5.39 5.35 5.37 5.42 5.42 5.39 5.42 5.46 6.34 6.31 6.34 6.38 4.26 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/ciefault.htm. The rate for the Federal Reserve Bank of New York. Historical series for the rate on adjus http://www.federalreserve.gov/Releases/H15/update/ 4/27/2007 FRB: H.15--Selected Interest Kates, web-Unly uauy upame--Hpru 27, /vvi rage J V1 Y well as the rate on primary credit are available at www.federalreserve.gov/releas 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/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 -index foundat 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) I About I Announcements http://www.federalreserve.gov/Releases/H15/update/ 4/27/2007 FRB: H.15--Selected lntereSt Kates, W eD-vruy Lally upuaw--r prrr � /, <vv I . -5- 1 - Daily update Other formats: Screen reader I ASCII Statistical releases Home I Economic research and data ,Accessibilih I Contact Us Last update: April 27, 2007 http://www.federalreserve.gov/Releases/H15/update/ 4/27/2007 f ( k t ! } }\\ \ ) ; §EZ \k }§ \\( }\ K \\\ k\\\ \ \ It\\ /} } : ® i(^`! ¢k ®- !! {! \ ,~z 16 wK _ - _/& ( � j \§ 0/7 § ! /\§:)® ` /){ \k §§�[ ; 4!&$!§k) \\. -! _\ §§§DUZ,Qll:::®- \ )§ ®kk _ : !!//(§} ® !}! /a /}i{! a. §&; o 50E:ma:aw_, :� # Z. i INVESTMENT ADVISORY BOARD Meeting Date: TITLE: May 9, 2007 Pooled Money Investment Board Report for February 2007 BACKGROUND: Correspondence & Written Material Item B The Pooled Money Investment Board Report for February 2007 is included in the agenda packet. RECOMMENDATION: Receive & File M. Falconer, Finance Director POOLED MONEY INVESTMENT ACCOUNT SUMMARY OF INVESTMENT DATA A COMPARISON OF FEBRUARY 2007 WITH FEBRUARY 2006 (DOLLARS IN THOUSANDS) Average Daily Portfolio Accrued Earnings Effective Yield Average Life -Month End (In Days) Total Security Transactions FEBRUARY200711 FEBRUARY2006 CHANGE $ 59,468,500 $ $ 236,368 $ 5.181 184 Amount $ 30,393,586 $ Number 637 Total Time Deposit Transactions Amount $ 4,076,000 $ Number 186 Average Workday Investment Activity $ 1,914,977 $ Prescribed Demand Account Balances For Services $ 241,027 $ For Uncollected Funds $ 198,878 $ 1 57,817,453 $ +1,651,047 179,309 $ +57,059 4.043 +1.138 177 +7 26,689,453 $ +3,704,133 561 +76 3,933,000 $ +143,000 159 +27 1,701,247 $ +213,730 316,939 $ -75,912 218,854 $ -19,976 BILL LOCKYER TREASURER STATE OF CALIFORNIA INVESTMENT DIVISION SELECTED INVESTMENT DATA ANALYSIS OF THE POOLED MONEY INVESTMENT ACCOUNT PORTFOLIO (000 OMITTED) FEBRUARY 28, 2007 DIFFERENCE IN PERCENT OF PERCENTOF PORTFOLIO FROM TYPE OF SECURITY AMOUNT PORTFOLIO PRIOR MONTH Government Bills $ 4,613,158 7.70 -0.03 Bonds 0 0.00 0 Notes 0 0 Strips 0 0.00 0 Total Government $ 4,613,158 7.70 -0.03 Federal Agency Coupons $ 7,281,356 12.15 -4.36 Certificates of Deposit 9,903,334 16.52 -1.60 Bank Notes 1,276,018 2.13 +0.33 Bankers' Acceptances 0 0.00 0 Repurchases 0 0.00 0 Federal Agency Discount Notes 4,588,019 7.65 -1.53 Time Deposits 8,487,495 14.16 -0.26 GNMAs 220 0.00 0 Commercial Paper 11,130,392 18.57 +2.94 FHLMC/Remics 928,475 1.55 -0.03 Corporate Bonds 517,363 0.86 -0.17 AB 55 Loans 8,575,934 14.31 +0.30 GF Loans 2,638,400 4.40 +4.40 Reversed Repurchases 0 0.00 0 Total (All Types) $ 59,939,164 100.00 INVESTMENT ACTIVITY FEBRUARY 2007 JANUARY 2007 NUMBER AMOUNT NUMBER AMOUNT Pooled Money 637 $ 30,393,586 534 $ 24,805,849 Other 6 83,550 1 117 Time Deposits 186 4,076,000 211 5,817,500 Totals 829 $ 34,553,136 746 $ 30,623,466 PMIA Monthly Average Effective Yield 5.181 5.156 Year to Date Yield Last Day of Month 6.060 5.044 2 Pooled Money Investment Account Portfolio Composition Corporate Bond! 0.86% Commercial Paper 18.57% $59.9 Billion 02/28/07 Treasuries none 7.70016 Mortgages Time Deposits 14.16% kgencies 19.80% Is BOARD MEMBER ITEMS