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2007 08 15 IABAGENDA INVESTMENT ADVISORY BOARD Special Meeting Building & Safety Conference Room 78-495 Calls Tampico- La Quints, CA 92253 August 15, 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 July 11, 2007 for the Investment Advisory Board. V BUSINESS SESSION A. Transmittal of Treasury Report for June 2007 B. LAIF Conference VI CORRESPONDENCE AND WRITTEN MATERIAL A. Month End Cash Report - July 2007 B. Pooled Money Investment Board Reports - May 2007 VII BOARD MEMBER ITEMS Chairperson Deniel - Business Cards Board Member Moulin - Professional Portfolio Management Firm VIII ADJOURNMENT P.O. Box 1504 • LA QUIN I A, CALIFORNIA 92247-1504 78-495 GIA.LF. TAmPU;o • LA QLINIA, CIA LIFORNIA 92253 (760) 777-7000 -FAX (760) 777-7101 BOARD MEMBER ITEM To: Treasurer and Members of the IAB From: Don Moulin Date: August 15, 2007 The July 2007 meeting of the IAB included a discussion of the return on the City's investment portfolio compared to returns on certain debt instruments and portfolios. Section XV BENCHMARK of the IP specifies that the City "will use the six-month U.S. Treasury Bill as a benchmark when measuring performance of the investment portfolio." In practice, the Treasurer and the IAB do not use the referenced T-Bill as a "benchmark" in the usual meaning of the word. The T-Bill yield is only one of the bases for comparing the City's rate of return. The monthly Treasurer's Report includes the LAIF return as another base for comparison. The discussion led to the recognition that the BENCHMARK section of the IP should be visited during the 2008 review of the IP and revised if appropriate. A comparison of section XV and the YIELD paragraph of section IV OBJECTIVES reveals redundant content. See a copy of the YIELD and BENCHMARK paragraphs on the following page. If the Treasurer and the members of the IAB agree to propose a change to the benchmark section of the IP, a suggested discussion draft of an alternative paragraph follows: XV COMPARATIVE RETURNS The City Of La Quinta does not speck a single benchmark as a goal or target for a rate of return on its investment portfolio. Rates of return are influenced by several factors including actions by the Federal Reserve Board, the marketplace and overall economic perceptions and conditions. These factors do not affect the yield during holding period of the City's investments because the City's buy and hold policy fixes the yield at the time of purchase. As bases for comparison only, the Treasurer's monthly report shows the rate of return on the U.S. Six-month Treasury Bill and the State Treasurer's Local Agency Investment Fund (LAIF). The Treasurer may use these or other published rates of return that the Treasurer deems appropriate for comparison to the return on the City's investment portfolio. (Consider adding the rates of return of 1, 2, 3 and 5-year maturities of U.S. Treasury Notes to the Treasurer's monthly report as additional comparative data) Proposed action: Add to agenda at a future meeting. If discussion at that meeting indicates that a change to section XV should be considered, continue the matter to a meeting that begins the review of IP for 2008-9. to ensure the preservation of capital in the overall portfolio in accordance with the permitted investments. The objective will be to mitigate credit risk and interest rate risk. A. Credit Risk Credit Risk - is the risk of loss due to the failure of the security issuer or backer. Credit risk may be mitigated by: ► Limiting investments to the safest types of securities; ► Pre -qualifying the financial institutions, and broker/dealers, which the City of La Quinta will do business with; and, ► Diversifying the investment portfolio so that potential losses on individual securities will be minimized. B. Interest Rate Risk Interest Rate risk is the risk that the market value of securities in the portfolio will fall due to changes in general interest rates. Interest rate risk may be mitigated by: ► Structuring the investment portfolio so that securities mature to meet cash requirements for ongoing operations, thereby avoiding the need to sell securities on the open market prior to maturity; and ► By investing operating funds primarily in shorter -term securities. 2. Liquidity The investment portfolio shall remain sufficiently liquid to meet all operating requirements that may be reasonably anticipated. This is accomplished by structuring the portfolio so that sufficient liquid funds are available to meet anticipated demands. Furthermore since all possible cash demands cannot be anticipated the portfolio should be diversified and consist of securities with active secondary or resale markets. Securities shall not be sold prior to maturity with the following exceptions: ► A declining credit quality security could be sold early to minimize loss of principal; ► Liquidity needs of the portfolio require that the security be sold. 3. Yield The investment portfolio shall be designed with the objective of attaining a market rate of return throughout budgetary and economic cycles, taking into account the investment risk constraints and liquidity needs. Return on investment is of least importance compared to the safety and liquidity objectives described above. The cores of investments .are limited to relatively low risk securities in anticipation of earning a fair return relative to the risk being assumed. 5 transactions, all telephone transactions shall be supported by written communications and approved by the appropriate person. Written communications may be via fax if on letterhead and the safekeeping institution has a list of authorized signatures. Fax correspondence must be supported by evidence of verbal or written follow-up. g. Development of a wire transfer agreement with the City's bank and third party icustodian. This agreement should outline the various controls, security provisions, and delineate responsibilities of each party making and receiving wire transfers. The System of Internal Controls developed by the City, shall be reviewed annually by the independent auditor in connection with the annual audit of the City of La Quinta's Financial Statements. The independent auditor's management letter comments pertaining to cash and investments, if any, shall be directed to the City Manager who will direct the City Treasurer to provide a written response to the independent auditor's letter. The management letter comments pertaining to cash and investment activities and the City Treasurer's response shall be provided to the City's Investment Advisory Board for their consideration. Following the completion of each annual audit, the independent auditor shall meet with the Investment Advisory Board and discuss the auditing procedures performed and the review of internal controls for cash and investment activities. XV BENCHMARK The investment portfolio shall be designed with the objective of obtaining a rate of return throughout budgetary and economic cycles commensurate with the investment risk constraints and the cash flow needs of the City. Return on investment is of least importance compared to safety and liquidity objectives. The City of La Quinta Investment Policy will use the six-month U.S. Treasury Bill as a benchmark when measuring the performance of the investment portfolio. XVI REPORTING STANDARDS SB564 section 3 requires a quarterly report to the Legislative Body of Investment activities. The City of La Quinta Investment Advisory Board has elected to report the investment activities to the City Council on a monthly basis through the Treasurers Report. AB 943 requires that the December 315L and June 30" Treasurers Reports be sent to the California Debt and Advisory Commission within sixty days of the end of the quarter. The City Treasurer shall submit a monthly Treasurers Report to the City Council and the Investment Advisory Board that includes all cash and investments under the authority of the Treasurer. 15 INVESTMENT ADVISORY BOARD Meeting Date: August 15, 2007 ITEM TITLE: Transmittal of Treasury Report for June 30, 2007 BACKGROUND: Business Session: A Attached please find the Treasury Report for June 30, 2007. The six month cash flow page will not be available until later in August after the completion of the annual audit. The page will be sent to the Board when it becomes available. RECOMMENDATION: Review, Receive and File the Treasury Report for June 30, 2007. John M. Falconer, Finance Director � f) MEMORANDUM TO: La Quinta City Council FROM John M. Falconer, Finance DirectorfTreasurer SUBJECT: Treasurers Report for June 30, 2007 DATE. July 31, 2007 Attached is the Treasurer's Report for the month ending June 30, 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 Ending Change Cash (3) $ 2,593,441 (1) $ (4,933,114) $ (2,339,673) $ (4,933,114) LAIF 51,526,296 3.000,000 (3,000,000) 0 51,526,296 0 US Treasuries (2) 104,450,498 56,000,000 (64,000,000) (823,022) 95,627,476 (8,823,022) US Gov't Sponsored Enterprises (2) 29,376,494 5,000,000 (4,729,000) (29,342) 29,618,152 241,658 Commercial Paper (2) 28,756,954 9,000,000 (9,000,000) 85,735 28,842,689 85,735 Corporate Notes 2,939,661 3,599 2,943,260 3,599 Mutual Funds 828,916 1 5,854,921 6,683,837 5,854,921 Total $ 220,472,260 $ 73,000,000 $ 79,807,193 $ 763,030 $ 212,902,037 $ 7,570,223 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 City of 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. 710 7 John M. Falcon e Finance Director/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 amort2ation of premium/discount for the month on US Treasury, Commercial Paper and Agency investments. (3) The cash accpunt 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 E E E N n 0 C m Z Z Z Z Z Z Z Z Z W O N wEn °o o U LL LL v � o aoy C V N i W `i ca m m E m m E m v S m m E a N o c o f E E of v v Q.� Opi O M m \ M N ry a m O Z VI d N N N 0 0 � O O O 000 M M O No O •m < M O 000 N N M O O O 0 o E o a4 p • 9 d e O O O O O O O O \ O O O a_ w m o o 000 ... 0 000 0 000 0000000000 0000000000o pp N o � O O O O N O O O O Oi O O O O O O oo M O N p O LL« O O O O ......... 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Bank Accounts Sndue 5urplua -AvaAW—�IUI�L 9.rt u T 2mkYRLRy fibs IAedmg f (fi,120 ]]9)epNo3,]80.901- G Na WA1,0.VWeIIemaM Yes c,Mckg 2T OI55nls E 2,3398TJ f Z],0]5 $ - S 2].0]5 rl Exanno I., i� u s Gov.mmam sponeorea ENeryrsaa Ar l¢aa sndus arplus GUAWan-AvaYaEBI Sn a Iseue" Value Yes PG Yes :am of New Ymk Oxi Yess Frump Mal ?003,503 ?0B3,55] 2&&3,5&3 BaN OI Naw Vork- Don anG 1'es FIELD 1,998.56& 1,09a500 I'M EIRE Benk If New York-.:m 1as FMB 4,80T.114 4,80],114 14 a,s0i,11d Bank If New Vwk-tMmaeW Yes Fmmis Mx Ban 4340105 4,340,t 43a0,105 BaA OI New York -Oemam 1'es FEEL ],BBi.1 ],994,8Q5 ]990,00.5 Sink, oI New. Demand \'es FFGs 4,0".1 4,99],903 4,99],903 S. of New Y.-(Iemam 1'as FMLMMa Ini We 2490USE 2,498(54 24F)i T01aIU5 Govermmenl secumcs 28,610, 152 29,010, 152 29010,152 Meulum term Noee BnoX 5wpus Surplus Cuslmran TAvasoYB Sw u Isomer? V Iu0 Yes Ptl Yes unal of New I.ak mam \ess Genera Ekctrc Cao11a1 29iJ M0 2.Bt32fi0 2941 Mn Total -al Term Pa r ?843,200 Zell Y.23200 LOW A9orcY lnvexlmem Fune wrplus srqua ZYexe IS, (3,3PB,a50 ,I, MA iTa Pml 5 1ISX POWm Bat 6.2W3 4B, 1n. 4o, 3L6 Surplus suqu PP➢CIFUUNM%a SuYrepsux ff W)p 0a.302 BES SEE AIR AU ?389, T48 E3305.OSs E tOt0A02 A0989% oot2&% Surqua No Al,No surpus An '-ma I p<IUN X suMuz I Yes I91]Zi% 1920i9% Surpl Be Aill Swpui mFums Asn"% SUNius Yes 1]0116% 134)Y% Surpus No Al Surdux No al Fums Actual% surpus Yes 1 ]624% 13581% wel Sul s,rpne B. AE snrpnx Na alsnrpnx Actual% Y es - 242019% 32 ]202% Intel City Investments 15J TE9,3B61 153,749398 1 IIu.Fl 150,36J,346 - - T22160% IO BfiXX 1.1 CIty Bell B Investmants 151.IOB.T23 is]775,4]1 1 J3,38l 150,390,421 2,366]48 3.386050 1 1.1.,302 1T1 t1]1% ]09181X Fusel A ant ImasMents B1II!aE"'A'1a'1;X' Sumse lanum-l" Value Yes AR Yes pit.. =nx. 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Staff will provide the agenda to the Board as soon as it is available. We wanted to bring this item to the Board to check their calendars. RECOMMENDATION: Select up to two Board members to attend the LAIF Conference. John M. Falconer, Finance Director Save The Date Local Agency Investment Fund (LAIF) Annual Conference Date: October 11 - 12, 2007 Where: Sacramento Convention Center Sacramento, CA The annual Local Agency Investment Fund Conference will be held on Thursday, October 11 at the Sacramento Convention Center in Sacramento. A post -conference tour of Investments/LAIF is scheduled the following day, Friday, October 12 at the State Treasurer's Office (Jesse Unruh Building). It is anticipated the conference registration form will be posted on the LAIF website (www.treasurer.ca.gov/pmia-laif) and mailed to participating LAIF agencies two months prior to the event. INVESTMENT ADVISORY BOARD Meeting Date: August 15, 2007 TITLE: Month End Cash Report - July 2007 BACKGROUND: Correspondence & Written Material Item A 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. This report also includes other statistical investment data for the Board to review. The budget to actual comparison will not be available until later in August after the completion of the annual audit. The page will be sent to the Board when it becomes available. RECOMMENDATION: Information item only. John M. Falconer, Finance Director d n O O Y) NN N N O m 0 0 N O M m Y gyH N n Q.0O pn" V l C)p o Mo 00 opo 0 opMpn O o OJ N O O O N n w A O O N O O O C G C G O m m N M N n M np v ui O m � NaG� b Ot } N O p O O N M N O O 0 O 0 O Hl O p N 0 �i vin `gym M O m Z .�O m O N 0 c> c W 0 0 W W n M m O o N fO N N O O �5g IQ c 8 m O O N O M O N N M p O N Cq N 0 m A n�) o n c4i O 0 n N 0 0 LL � p f0 (C � o O O tl1 ci �n) mg 0 0 0 0 �N LM m c P O V O P moo 0 0 0 0 3 N N N N 2- 0 0 3 yN RN p pN O M N O m q ccM.j N NOOw 0 an mm m O W N )o yj 0Cl! N L U m y N r M d ai y W m N o N w O N m 3 V ry N m 0o w m m nn n v ^ 2 od B o d ¢� m n E¢ c m. K 9 m N N m m c a U c W m c E m 'a T c c 3 y c m v a �i K E E o a 2 a S c n omo�� a¢a < w 'a", Wm¢ns�v' 3� 3 s N 0 g a c L Bill Lockyer State Treasurer inside the State Treasurer's Office Local Agency Investment Fund (LAIF) PMIA Performance Report 7/13/2007 4IC i 5.25 tter t0 Bate I AW, 5.26 ty 189 7/14/2007 5.25 5.26 189 7/15/2007 5.25 5.26 189 7/16/2007 5.25 5.26 186 7/17/2007 1 5.25 5.26 187 7/18/2007 5.25 5.26 189 7/19/2007 5.25 5.26 188 7/20/2007 5.25 5.26 196 7/21/2007 5.25 5.26 196 7/22/2007 5.25 5.26 196 7/23/2007 5.25 5.26 193 7/24/2007 5.25 5.26 192 7/25/2007 5.25 5.26 191 7/26 007 1 5.251 5.261 190 LAIF Performance Report Quarter ending 6/30/2007 Apportionment Rate: 5.23% Earnings Ratio: .00014325574266716 Fair Value Factor: .999545022 PMIA Average Monthly Effective Yields June 2007 5.250% May 2007 5.248% Apr 2007 5.222% Pooled Money Investment Account Portfolio Composition $66.6 Billion 06130/07 Loans Treasuries 10.97% 5.07% Mortgages 1.32% Corporate Bonds 0.59% Commercial Paper 21.90% Time Deposits 13.31 % Agencies 21.10% CDs/BNs 25.74% 3 Recent 13111 Auction Results rage i or 1 T ecasur Direr Recent Bill Auction Results Security Issue Maturity Discount Investment Price cusrP Term Date Date Rate % Rate % Per $100 28-DAY 08-02-2007 08-30-2007 5.055 5,160 99.606833 912795ZX2 91-DAY 08-02-2007 11-01-2007 4,825 4.966 98,780347 912795A84 182-DAY 08-02-2007 01-31-2008 4.800 5,001 97.573333 912795C58 28-DAY 07-26-2007 08-23-2007 4.940 5.042 99,615778 912795ZW4 91-DAY 07-26-2007 10-25-2007 4.885 5.029 98.765181 912795A76 182-DAY 07-26-2007 01-24-2008 4.890 5.098 97,527833 912795C41 28-DAY 07-19-2007 08-16-2007 4.660 4.755 99.637556 912795ZV6 91-DAY 07-19-2007 10-18-2007 4.840 4.982 98.776556 91279SA68 182-DAY 07-19-2007 01-17-2008 4.865 5.071 97.540472 912795C33 28-DAY 07-12-2007 08-09-2007 4.650 4.745 99.638333 912795ZUS 91-DAY 07-12-2007 10-11-2007 4,815 4956 98782875 912795A50 182-DAY 07-12-2007 01-10-2008 4.850 5.055 97.548056 912795C25 28-DAY 07-05-2007 08-02-2007 4.660 4,755 99.637556 912795ZTI 91-DAY 07-05-2007 30-04-2007 4.790 4.930 98.789194 912795A43 182-DAY 07-05-2007' 01-03-2008 4.810 5.012 97.568278 912795B91 28-DAY 06-28-2007' 07-26-2007 4.490 4.581 99.650778 912795Z53 91-DAY 06-28-2007' 09-27-2007 4.685 4.820 98.815736 912795A35 182-DAY 06-28-2007 12-27-2007 4.810 5.012 97.568278 91279SB83 28-DAY 06-21-2007' 07-19-2007 4.335 4,422 99.662833 912795ZR5 91-DAY 06-21-2007 09-20-2007 4,490 4.617 98.865028 912795A27 182-DAY 06-21-2007' 12-20-2007 4.715 4.911 97.616306 912795875 28-DAY 06-14-2007' 07-12-2007 4,545 4.637 99,646500 912795ZQ7 91-DAY 06-14-2007 09-13-2007 4.640 4.773 98.827111 912795ZZ7 182-DAY 06-14-2007 12-13-2007 4.765 4,964 97.591028 91279SB67 28-DAY 06-07-2007 07-05-2007 4.650 4.745 99.638333 912795ZP9 91-DAY 06-07-2007 09-06-2007 4.710 4.846 98.809417 912795ZYO 182-DAY 06-07-2007 12-06-2007 4,790 4,991 97.578389 912795859 10-DAY 06-05-2007 06-15-2007 5.090 5.182 99,858611 912795UA7 14-DAY 06-01-2007 06-15-2007 5.090 5.185 99.802056 912795UA7 28-DAY 05-31-2007 06-28-2007 4.860 4,960 99.622000 912795ZN4 91-DAY 05-31-2007 08-30-2007 4.780 4,919 98.791722 • 912795ZX2 182-DAY 05-31-2007 11-29-2007 4.805 5.007 97.570806 912795B42 28-DAY 05-24-2007 06-21-2007 4.900 5.001 99,618889 912795ZM6 91-DAY 05-24-2007 08-2.3-2007 4.775 4.914 98.792986 912795ZW4 183-DAY 05-24-2007 11-23-2007 4.810 5.013 97.554917 912795834 28-DAY 05-17-2007 06-14-2007 4,665 4.760 99.637167 912795ZL8 91-DAY 05-17-2007 08-16-2007 4.730 4.867 98.804361 912795ZV6 182-DAY 05-17-2007 11-15-2007 4.735 4.932 97.606194 912795B26 28-DAY 05-10-2007 06-07-2007 4.640 4.734 99,639111 912795ZKO 91-DAY 05-10-2007 08-09-2007 4.760 4.898 98.796778 912795ZUS Effective with the 11/2/98 auction, all bills are auctioned using the single -priced method. 4 http://www.treasurydirect.gov/RI/0FBills 8/1/2007 FRB: H.15--Selected interest Kates, Web -only Lally Update --July s i, GVV i rage 1 of ,# Federal Reserve Statistical Release H.15 Selected Interest Rates (Daily) Skip to Content Release Date: July 31, 2007 Weekly release dates I Historical data I Data Download Program (DDP) I About I Announcements Daily update Other formats: Screen reader I ASCII ®'1f10aftrammload ProM 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 July 31, 2007 2007 Instruments Jul 30 Federal funds (effective) 1 2 3 5.29 Commercial Paper 3 4 5 Nonfinancial 1-month 5.26 2-month 5.24 3-month n.a. Financial 1-month 5.25 2-month 5.23 3-month 5.25 CDs (secondary market) 3 6 1-month 5.31 3-month 5.33 6-month 5.34 Eurodollar deposits (London) 3 7 1-month 5.32 3-month 5.34 6-month 5.32 Bank prime loan 2 3 8 8.25 Discount window primary credit 2 9 6.25 U.S. government securities Treasury bills (secondary market) 3 4 4-week 4.85 3-month 4.82 6-month 4.80 Treasury constant maturities Nominal 10 1-month 4•95 3-month 4.96 6-month 5.00 1-year 4.87 2-year 4.59 5 http://www.federalreserve.gov/Releases/HI5/update/ 8/1/2007 FRB: H.15--Selected Interest Kates, Web -only Vaily update --my s i, wu i rage Z 01 w 3-year 4.57 5-year 4.64 7-Year 4.71 10-year 4.82 20-year. 5.05 30-year 4.97 Inflation indexed 11 5-year 2.47 7-year 2.50 10-yeas 2.49 20-year 2.49 Inflation -indexed long-term average 12 2.47 Interest rate swaps 13 1-year 5.22 2-Year 5.07 3-year 5.12 4-year 5.20 5-year 5.27 7-year 5.40 10-year 5.54 30-year 5.74 Corporate bonds Moody's seasoned Aaa 14 5.65 Baa 6.70 State & local bonds 15 Conventional mortgages 16 n.a. Not available. 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 6 http://www.federalreserve.gov/Releases/Hl5/update/ 8/1/2007 FRB: H.15--Selected Interest Kates, Web -Only Vaity update --my s i, zuu I rage .5 or ,+ 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/oi-fices/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.trE�as.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 fiom 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. Weeklv release dates I Historical data Data. Download Program (DDP) I About I Announcements 7 http://www.federalreserve.gov/Releases/HI5/update/ 8/l/2007 rKti: H.13--Jelecteci interest Kates, weD-vnty uauy upume--imy -r, cvvr rays Y vi Y Daily update Other formats: Screen reader I ASCII Statistical releases Home I Economic research and data Accessibility I Contact Us Last update: July 31, 2007 8 http://www.federalreserve.gov/Releases/H15/update/ 8/1/2007 FRB: Commercial Faper Rates ana uutstanamgs rage f vi .3 Federal Reserve Release Release I About j Announcements I Outstandings I Volume statistics I Year-end j Data Download Program (DDP) Data as of July 31, 2007 Commercial paper Dates and Outstanding Derived from data supplied by The Depository Trust Company Posted August 1, 2007 Discount rates FTerml nonfinanctal nonfinancial financtal asset -backed 1-day 5.33 ] 5.48 5.38 5.39 7-day 5.19 ] 5.41 5.31 5.36 15-day 5.27 5.38 5.26 5.32 30-day 5.23 ] 5.37 5.26 5.32 60-day 5.22 5.34 5.26 5.28 90-day n.a. n.a. 5.26 5.27 Trade data insufficient to su000rt calculation of the 90-dav AA nonfinancial and 90-day A2/P2 nont Yield curve Money market basis nancial rates for July 31, 2007 Percent — — — AA nonfinancial ........... A2JP2 nonfinancial —•— AA financial AAao.el bari.rd y — —------------------=" —., �f 1 7 15 30 60 90 Days to Maturity 5.7 5.5 5.3 5.1 9 http://www.federalreserve.gov/Releases/CP/ 8/l/2007 FRB: Commercial Paper Kates and uutstandmgs rage L or .3 2001 2002 2003 2004 2005 2006 20U7 commercial paper taany) --- AAnonfinancial ••••.••. AM nonfinancial --^ AAfinancial -- AA as,cl,backrd rc�wua 2001 2002 2003 2004 2005 2006 zvt Outstandings Weekly (Wednesday), seasonally adjusted 5 4 3 2 1 0 http://www.federalreserve.gov/Releases/CP/ 8/1/2007 10 FRB: Commercial Paper Rates and Outstandings rage s or s « • INA« Billions of dollars G— — — Manlinancial(right scale) el --- Financial (left wale) ,1 « > a,�,q.ftidcr6tt3 r"ie t scald •V «4. 01 i02 2003 2004tl 2 I"i=« fIF 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 Program (DDP). This policy is subject to change at any time without notice. Release I About I Announcements I Outstandings I Volume statistics I Year-end I Data Download Program_(DDP) Home I Statistical releases Accessibilitv I Contact Us Last update: August 1, 2007 11 http://www.federalreserve.gov/Releases/CP/ 8/l/2007 INVESTMENT ADVISORY BOARD Meeting Date: August 15, 2007 TITLE: Pooled Money Investment Board Report for May 2007 BACKGROUND: Correspondence & Written Material Item B The Pooled Money Investment Board Report for May, 2007, summary pages have been attached for the Board's review. A complete copy is available for review upon request. RECOMMENDATION: Receive & File John M. Falconer, Finance Director POOLED MONEY INVESTMENT ACCOUNT SUMMARY OF INVESTMENT DATA A COMPARISON OF MAY 2007 WITH MAY 2006 (DOLLARS IN THOUSANDS) MAY 200711 MAY 2006 CHANGE Average Daily Portfolio $ 63,222,005 $ 62,884,641 $ +337,464 Accrued Earnings $ 281,796 $ 243,715 $ +38,081 Effective Yield 5.248 4.563 +0.685 Average Life -Month End (In Days) 170 151 +19 Total Security Transactions Amount $ 34,467,716 $ 27,496,447 $ +6,971,269 Number 713 577 +136 Total Time Deposit Transactions Amount $ 3,294,300 $ 2,713,300 $ +581,000 Number 154 144 +10 Average Workday Investment Activity $ 1,716,455 $ 1,373,170 $ +343,285 Prescribed Demand Account Balances For Services $ 248,657 $ 281,421 $ -32,764 For Uncollected Funds $ 220,068 $ 308,585 $ -86,697 1 BILL LOCKYER 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 (Ail Types) INVESTMENT ACTIVITY Pooled Money Other Time Deposits Totals PMIA Monthly Average Effective Yield Year to Date Yield Last Day of Month MAY 31, 2007 DIFFERENCE IN PERCENT OF PERCENT OF PORTFOLIO FROM AMOUNT PORTFOLIO PRIOR MONTH $ 2,646,414 4.22 -2.62 0 0.00 0 0 0.00 0 0 0.00 0 $ 2,646,414 4.22 -2.62 $ 8,087,996 12.91 +0.86 15,619,557 24.93 +0.13 1,550,007 2.47 -0.34 0 0.00 0 0 0.00 0 3,975,057 6.34 -1.04 8,656,995 13.81 +0.56 211 0.00 0 13,762,633 21.96 +1.71 879,210 1.40 +0.02 441,490 0.71 -0.01 7,748,623 12.36 +0.92 0 0.00 0.00 -694,835 -1.11 +0.19 $ 62,673,358 100.00 MAY 2007 NUMBER AMOUNT 713 $ 34,467,716 21 125,928 164 3,294,300 888 $ 37,887,944 5.248 5.108 2 APRIL 2007 NUMBER AMOUNT 645 $ 30,905,064 126 4,602,784 198 6,494,190 969 $ 41,002,038 5.222 5.093 Pooled Money Investment Account Portfolio Composition $62.7 Billion 05/31 /07 Corporate 1 0.71a Commercial Paper 21.96% Reverses Treasuries 0 Loans ° 4.22% Mortgages 13.81 % 3 ncies 25% 4s BOARD MEMBER ITEMS Investment Advisory Board Minutes December 10, 2003 approval process, so it is up to the Treasurer to educate the Acting City Manager of what his responsibilities are with relationship to the checks and balances approval process. Board Member Moulin asked if there were any disagreements with Management for cash and investments. Mr. Harrison stated there were none. Noted and Filed B. Month End Cash Report — November 2003 Noted and Filed C. Pooled Money Investment Board Report — September 2003 VII BOARD MEMBER ITEMS General discussion ensued amongst the Board regarding BROWN oiifft and it was the consensus of the Board not to purchase them. Board Member Moulin commended the Audit firm, Conrad and Associates; and also wanted to thank Staff on a job well done. Chairman Lewis suggested to the Board that investment information presentations possibly be scheduled in the month of February. Chairman Lewis stated that he had someone in mind as well as Board Member Denial. Chairman Lewis suggested that the presentations be 10 to 15 minutes with a 10 to 15 minute question and answer period and that this will be just for informational purposes. Board Member Olander suggested to the Board that the presenters would submit an executive summary prior to their presentations. Chairman Lewis suggested that the Board meet earlier than the normal scheduled time, of 5:30 and suggested 4:30. Board Member Olander suggested that an invitation to the City Council be made. Mr. Falconer advised the Board that the City has a weekly item of interest memorandum that is sent to the City Council Members, this could be added. Chairman Lewis suggested to the Board that the business items be conducted prior to the presentations. 10