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Home My WebLink AboutSupplemental Communication - Investment Advisory Board - HB 1 :. r r Investment Advisory Board - HB City Council Joint Study Session City of Huntington Beach Portfolio Update February f, 2017 0sin Kiin �° ex� CFA Ir"ectOr ' Debt capital Markets SUPPLEM ENTAL Mischler Financial Group COMMUNICATION Meefing nee:_.. „— Agenda ftern No.;,__ S� I _ ........................... Institutional Fiduciary Benchmark The Process: Estimate liquidity Needs Determine Interest Fate Risk Tolerance create Diversified Allocation ' Evaluate, Invest and/or Rebalance Evaluating Performance Stewardship: Performance evaluation is often confused with performance measurement` Evaluation focuses on evaluating the manager not just the portfolio. The key question for performance evaluation: ",ire you a good steward off' the public's money?" Suitability: Select measurement metrics that quantify► specific characteristics of good stewardship. Evaluating Performance 1 ) Provide sufficient liquidity to meet current obligations *Current liquidity exceeds Liquidity Profile $28.3MM target by around - _ _.... . . ..-� 9.1 MM(21 .5MM in portfolio . and $15MM in bank) Cash Investments Constant Yield Primary n "�" _ _ *Liquidity available in the form Pr� �ry Liq�aii Book Liquidity of gain-eligible bonds Portfolio 9.88�� 15.25`�a $21,524,010 $33 231, 20 exceeds target by $11 .A�MM Target 13.00 10 Gtf)`,`�4 $28,332,Zt3 21794,033 (3.12%) 5,25''t: Variance ($6,808,233) S11437,887 *As of January 31, 2017 Evaluating Performance 2) Assure appropriate level of interest rate risk *Current interest rate risk Portfolio Cha racte risti cs/Ta rget shows around 17bp lower port 1 Target Variance F than the benchmark. PYId MAY(MA) : 1.26% 1 0.86% 0.41% PYId I FBY(MA) 1.26% 1.21% 0.05% .............. .... . Eff ......... Dur 2.01 9 ............ ---------[�' 0.17 , I ........................ Eff Conv (03S) 11 (0.49) (017) WtdAvg Mat 2.36 2.33 (OM) WtdAvg Cpn 1 1.34% 1.76% (0.42%) ------------- Bid Yield 1.49% y 1.61% 0.12% 7........................................... OAS (iI11) 24.94 32.12 7.18 Comp Rtg AA1 WE; *As of January 31, 2017 Evaluating Performance 3) Maintain adequate portfolio diversification _._____... .__________. .. ..... ...... _ Treasury- 0.00%f Supra-2.28% Agency-67.31% Corporate-20.53%f Municipal-0.00% Port Target Variance Port Target Variance Part Target: Variance: - ..-....e... TsyO-lYr 0.00% 0.00% 0.00% Bullet 0-1Yr 4.61% 0.00% . 1`x� Corporate it-1Yr 8.52% 0.00%% 05 ,E ...... .. . . w._ __---- --._.. W W _.._.. . Tsy 1-3Yr 0.00% 0.00% 0.00% Bullet 1-3Yr 9.23% 10.00% (0.77%) Corporate 1-3Yr 8.76% 2000% (11.241%) Tsy 3 5Yr 0.00% 0.00% 0.00% Bullet 3-5Yr 2.30% 0.00% 2.30`f, Corporate 3-5Yr 3,25% 5 00% (1.75%) ....__.. l _.._ _ Tsy 5-7Yr I 0.00% 0.00`�0 0.00% Bullet 5-7Yr 0.00`% 0.00% 0.00% Corporate 5-7Yr 0.00% 0.00% 0.00°h ..._ -.. . .......................... - Tsy 7-10Yr 0.00% 0.00% 0.00% Bullet 7-10Yr 0.00% 0.00% 0,00% Corporate 7-10Yr 0.00% 0.00% 0.00% Tsy 10-15Yr 0.00% 0.00% 0.00% Bullet 10-15Yr 0.001A 0.00% 0.00% Corporate 10-15Yr 0.00% 0.00% 0.00% Tsy 15+Yr 0.00% 0.00% 0.00% Bullet 15+Yr 0.00% 0.00% 0.00% Corporate 15+Yr 0.00% 0.00% 0.00% Supra 0-1Yr 0.00% 0.00% 0.00% Callable0-lYr 2.30% 0.00% 2,30% ! Mun icipa I O-1Yr 0.00% 0.00% 0.00% '. Supra 1-3Yr 2.28% 0.00% '2.28% Callable 1-3Yr 17.14% 25.W%' (7.86%) Municipal 1-3Yr 0.00% 0.00% 0.00% _ - - .. ..... . ........ Supra 3 5Yr F -0.00% 0.00% 0.00% Callable 3-5Yr 31.73% 27.00% .73% Municipal 3-5Yr 0.00% 0.00% 0.00% Supra 5-7Yr 0.00% 0.00% 0.00% Callable 5-7Yr 0.0No 0.00% 0.00% Municipal 5-7Yr 0.00% 0.00% 0,00% Supra 7-10Yr 1 0.00% 0.00% 0.00% Callable 7-10Yr 0.00% 0,00% 0.00% Municipal 7-10Yr 0.Q0% 0.00% 0.00% _._.... ....... ........- ._... _ Supra 10-15Yr= 0.00% 0.00% 0.00% Callable 10-15Yr 0.00% 0.00% 0.00% Municipal 10-15Yr 0.00% 0,00% 0.00% _...m... -- -- _ ....... .m- Supra 15+Yr 0.00% O.OQ% Callable 15+Yr 0.00% 0.00% 0.00% Lh unicipal 15+Yr 0.00% 0,009f+ 0.00% *As of January 31, 2017 Evaluating Performance 3} Maintain adequate portfolio diversification Callable Composition - 51.17% Issuer Breakdown Anytime (Cc), ' ,. Onetime (1x), 2 26% 2.29 FNMA 27.579s FHLMC T- 22.62% FHLB 12.56% CASH � f FFCB VNIIIIIIIIII 4.56% Quarterly (Dq), '�_ r, GE 4.39% 46.61% TOYDTA 2.77% MV%of Portfolio BK 2.32% IBRD 2.29% Nlv of Portfolio Pyld I WtdCore LDUr WICIC0 11 ORCL 3B 1.40% DE 91,3 9% Onetime (1x) 2.29% 1.2S%/0.03% 1.69/0.04 CAT- E 1.38% Monthly(Dm) Cvx 'A 1.38% Guarterl (Dq) 46.61% 1.32%/0.62% 2.43/1.13 CSCO 111.37% Semi-Annual (Ds) KO 11.15% Annual (Da) DELL 1 1.14% Anytime (Cc) 2.26% 1.62%/0.04% 3.42/0.08 KMB 90,92% t?ther((1c) j MRK '20.92% *As of January 31, 2017 Evaluating Performance 4) Portfolio holdings are "legal" as defined by Inv Policy *No holdings over 5% Issuer Breakdown. L Duratimi&Maturky FNMA per corporate issuer---,-__ ...... - FHLMC- 2 2.6 2% . ...... ...................................................... ............ Cash 9.889E 9,88% FH LB 12.S6% CASH 0-1 15.43% 15.43% FFCB- 4OWM4.5fi% 1-2 32.6 SAM04.39%GE 1% 18.86% TOYOTA-1=2.77% 22.77% 18.56% *Only 17.97% in 4-5yr 2-3 BK-AN2.32% 3-4 19.31% 19.31% 1BRD-M2.28% ------- maturities (50% max). -01.40%ORCL 4-5 0 17.979E DE-AN L387S 5-6 G.,00% CAT-M 1.39% CVX-6 1.38% is 6-7 0.00% OM% CSCO-If M 7% --------------------------------------------------------------- - 7-8 0.00% 0.00% *Ratings meet policy KO X 1,15% L DELL-a 1.14% 9-9 0.00% O.W% KMB0.92% uirements req D.GD% O.OG% MIRK;:0.92% ............................. 10+ 0.0M 1 0.00% .......... Rating Composition *Less than 25% in Corporate holdings 7 5'yl 69.60% Corporates 20,53% 1.43%/0..29% 1,43 /0,29 Finance 2.32% 1.60%/0.04% 2.92/0.07 Industrial 18.21% 1.41%/0.26% 1.24/0.23 25% 9.88% 10.60% 1.14% 1.38%168%3.72% *As of January 31, 2017 NR BB2 AAA AA3 AA2 A2 Al Evaluating Performance 5) Earn a Market Rate of Return Portfolio Characteristics /Target Objective: The investment portfolio shall be -- q Port Target Variance designed with the objective of attaining a market ................. PYI d MAY(MA) 1.26% 0.86% 0.41% rate of return throughout budgetary and A PYId/lFBY(MA) 1.26% 1.21% 0.05% econom ic cycles, taking into account the investment risk constraints of safety and Eff Dur 1.85 2.01 0.17 liquidity needs. Eff Conv j (0.75) (0.49) (0.27) WtdAv 2.3 2. (0.03) *Portfolio yield is compared to both a minimum g Mat 6 33 return yield benchmark and to the overall WtdAvg Cpn 1.34% 1.76% (0.42%) strategic benchmark yield Bid Yield 1.49% 1.61% 0.1210 OAS(i111) 24.94 32.12 7.18 Comp Rtg AAI .............. ............................................ *As of January 31, 2017 Evaluating Performance Portfolio Vs Benchmark 1.30% 1.267E 1.2s% 1.25% 1.213E 1.20% 1.1336 A A 1 187E r 1.15% L14 1.14 ale 1.12% t 1.11% 1.11 1.10w� v 1.05% 1.04% 1.04%r" A 1,01?y a+ 1.00% r a 0.955E a 0 U 0.90% 0.867E 0.85% 0.83% .r • 0.80% 0.78% 0.787E r 0.773E 0.77% 0.77% - -..•�r- 0.75% 0,74%, 0.7336 �..- -..4-- Portfolio Purchase Yield 0.72% .. .w- ' A�.r 0.70% 0.69'%-r �- - MAY Moving Avg 0.65% -•- - 1F8 Moving Avg 0.60% T -- io ❑ tQ ib 1A t0 to 40 W b ri! to 11 Ct i3 ❑ ❑ S3 4 CS Q ❑ C7 b ❑ ❑ C41 A ^v d1 *+ O pl H O �r ❑ ❑ ^+ Evaluating Performance Portfolio Vs Benchmark 2.05 2.07 2.10 ..............._z3".,...........i.®1 2.00 1.90 L 1.80 LE} 1.70 1,54 1.57 1.60 L51 L49;r e 1.49 L47 1.50 M �.. ' s,•' L39 L L37 1.49 y L33 1.34 �- .s 1.33 Y. ........ .......... ....«�., 1.30 21 1.2 1.z0 1 1.10 1.00 a S Q.90 x �C b s 0.70 23 3 0.60 0.50 q 0.40 0.30 Portfolio Effective Duration 010 s�p ... Benchmark Effective Duration o,1a 0.00 c a o c o c c a o o c c a q F-I Al in In Summary Adequate primary liquidity and gain-eligible portfolio holdings have helped ensure safety of principal. Well diversified holdings and following consistent strategy has helped ensure primary goals of safety, liquidity and income have been achieved . Treasurer has consistently met expectations and even outperformed the return requirements of the Fiduciary Benchmark in 12 of the last 13 months Questions? Wisdom For the Day! a# , "The best preparation for tomorrow is doing your best today.,, H. Jackson Brown, Jr. Disclaimer This information is for discussion purposes. By accepting this information you agree not to copy, reproduce, or otherwise disclose its contents to any third party without our prior consent. This information is illustrative and does not predict actual results, which may differ substantially from those reflected herein. A variety of market factors and assumptions may affect this analysis; it does not reflect all possible scenarios, including possible loss scenarios. Historical performance, data, and other information is not necessarily indicative of future performance or outcomes. Although the information is obtained from sources we believe to be reliable, we cannot guarantee it is accurate or complete and it may not be relied upon as such. Neither the information nor any opinion expressed constitutes a solicitation by us for the purchase or sale of any security or financial instrument or is advice or an expression of our views as to whether a particular investment is suitable and appropriate for you, or meets your financial objectives. 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