CITY OF LAGUNA NIGUEL
CITY COUNCIL AGENDA ITEM
1989
To: Honorable Mayor and Council Members
FROM: Tamara S. Letourneau, City Manager
DATE: July 18, 2023
SUBJECT: Investment Report as of May 31, 2023
RECOMMENDATION
Staff recommends that the City Council receive and file the City of Laguna Niguel Investment Report as of May 31, 2023.
BACKGROUND
The City Investment Policy requires the City Manager to submit an Investment Report monthly to the City Council that contains a summary of investment transactions, including investment types, percent of portfolio, yield, purchase date, maturity date, issuer or institution, par and dollar amount invested, market value, source of market valuation, the portfolio's average weighted yield and maturity, and a description of any local agency funds or investments under the management of contracted parties.
Submission of, and the City Council's action of receiving and filing this Report, addresses Goal #2, fiscal sustainability, in the City's Strategic Plan.
ANALYSIS
As was discussed as part of the Investment report for the month of March 2023, City staff implemented a 3-month strategy that focused on moving invested monies from the Local Agency Investment Fund (LAIF) to United States Treasuries. The strategy, focused on safety and liquidity first, will earn a significantly higher yield than LAIF is able to offer under the current market conditions. As of May 31st, $25.7 million was invested in US Treasuries, earning an average yield of nearly 4.50%. With the strategy in place, the City now has the following laddered maturity schedule of US Treasuries:
Month Maturing
Month purchased Jun-23 Jul-23 Aug-23 Sep-23 Oct-23 Nov-23 Dee-23 Jan-24 Feb-24 Mar-23 $3,000,000 $3,000,000 $3,000,000
Apr-23 2,500,000 2,500,000 2,500,000
May-23 2,500,000 2,500,000 2,500,000
$3,000,000 $2,500,000 $2,500,000 $3,000,000 $2,500,000 $2,500,000 $3,000,000 $2,500,000 $2,500,000 As securities mature on this ladder schedule, the City Manager and the Finance Director will evaluate the market conditions at that time and invest the monies in a security that
meets the needs and operations of the City. Staff continues to closely monitor the yield curve for all investment types permissible within the City's investment policy.
Due to current market conditions, City staff are looking to purchase mid-term and long- term securities. The 5-year US Treasury rate is yielding approximately 4% and represents a significant increase over the yields available at the end of May 2023. The current yields for the 5-year US Treasuries are also the highest seen since 2007, as shown in the graphic below:
FRED < - Market Yield on US. Treasury Securtes at 5-Year Constant Maturty, Quated on an investment Basis 2011.01 2017-01 2018-07 2019-01
tred stoutsied org
At the June 2023 Federal Open Market Committee meeting, the Committee elected to leave rates where they were, between 5% and 5.25%, but did signal additional rate increases before the end of calendar year 2023. The average Federal Reserve policy maker forecast for interest rates at the end of 2023 was 5.6%, suggesting rates may increase between now and December 31, 2023. However, the Federal Reserve members median estimate for interest rates at the end of 2023 was 4.60%, and at the end of 2024 it was 3.40%. Longer run estimates, for years beyond 2024, were at 2.50% on average.
These forecasts indicate that interest rates will not be this high over the next eighteen months to three years and provide the City the opportunity to take advantage of these higher rates now. If rates begin to decline as projected in 2024 and beyond, the City will continue to enjoy higher yields.
The following table compares the portfolio balance as of May 2023 to May 2022.
Portfolio Balance May 2023 May 2022 Difference
Balance $67,978,574.81 $66,402,157.90 $1,576,416.91
• From April 2023 to May 2023, the City's total cash and investments had a net increase of $3,674,748.43 going from $64,303,826.38 to $67,978,574.81. Cash receipts were higher than outlay for the month. The increase is mainly derived from the receipts of secured and supplemental property tax payments totaling $3,765,730.20.
• The percentage of pooled investments decreased from 16.04% to 3.12%. This was done in conjunction with the strategy to move money out of LAIF, and into higher earning investments. Pooled investments include the LAIF and the Orange County Investment Pool (OCIP).
• The average weighted maturity of City investments, including investment pools and money market, decreased from 516 days to 461 days. The average weighted maturity of City investments, including investment pools and money market, is calculated as follows: Sum of days left until maturity of each individual investment multiplied by the cost of each individual investment divided by the total portfolio at cost, excluding cash in bank. • The net yield of LAIF increased from 2.870% to 2.993%. The net yield of OCIP increased from 3.509% to 3.566%. The net yield for the First American money market funds increased from 4.710% to 4.970%.
• The average weighted yield of City investments, including investment pools and money market, increased from 2.720% to 3.004%. This is significant because it demonstrates the success of the strategy implemented in March. The LAIF yield is the primary benchmark identified in the City's Investment Policy, and the yield the City is earning is now exceeding that benchmark. If the investment mix were left as it was on February 28, 2023, the average weighted yield would have been 2.238% at May 31, 2023. The strategy resulted in an increase of 77 basis points, or 34% in investment returns. The City's average weighted yield of City investments, including investment pools and money market, is calculated by taking the total investment earnings divided by the total portfolio at cost, excluding cash in bank. A comparison of the City's average weighted yield to short-term and long-term benchmarks is presented below.
City Portfolio Benchmark Comparisons
Average 5-Year 1-Year 6-Month OCIP LAIF
Weighted Treasury Treasury Treasury
Yield
3.004% 3.740% 5.180% 5.460% 3.566% 2.993%
The monthly Investment Report as of May 31, 2023, is attached.
ALTERNATIVES CONSIDERED
1. The City Council can choose not to receive and file the City of Laguna Niguel Investment Report as of May 31, 2023.
FISCAL REVIEW
There is no fiscal impact as a result of this action.
CONCLUSION
The City Investment Policy requires the submittal of a monthly Investment Report. Staff recommends that the City Council receive and file this Report.
Jamas Seousneau In AL
Tamara S. Letourneau Trevor Agrelius
City Manager Finance Director
Attachments:
A. Monthly Investment Report as of May 31, 2023
ATTACHMENT A
Investment Report as of May 31, 2023
CITY OF LAGUNA NIGUEL
INVESTMENT REPORT
as of
May 31, 2023
TOT MANAGERL
Trevor Agrelius
FINANCE DIRECTOR
July 18, 2023
CITY OF LAGUNA NIGUEL
INVESTMENT REPORT
TABLE OF CONTENTS
Statement of Compliance/Non-Compliance 1
Report of Cash and Investments 2
LAIF Investment Reports 3-5
OCIP Investment Reports 6-10
US Bank Statement 11-22
PARS Statement 23
City of Laguna Niguel
Statement of Compliance/Non-Compliance with the City's Investment Policy The undersigned officers of the City of Laguna Niguel hereby certify that:
As of May 31, 2023, the City was in compliance with the Investment Policy adopted at the July 19, 2022 Regular City Council Meeting.
Sufficient investment liquidity from cash and cash equivalents and anticipated revenues are available to meet the City's budgeted expenditure requirements for the next six months.
Lamasa Setoureau In An
Tamara S. Letourneau Trevor Agrelius
City Manager Finance Director
City of Laguna Niguel
Summary of Cash and Investments
5/31/23
Settlement Maturity Coupon Purchased Percent of Maximum Allowable Market Description Date Date Rate Yletd Portfolio Per investment Policy Value Petty Cash/Change Drawers 2,600.00 0.00% I/A 2,600.00
US Bank Checking Account 4,441,989.82 6.53% N/A 4,441,989.82 US Bank Money Market 4.970% 5,616,147.19 8.26% 10.00% 5,616,147.19 Local Agency Investment Fund 2.993% 1,055,236.80 1.55% Lesser of $40 million or 55% 1,041,002.00 Orange County Investment Pool 3.566% 1,064,606.26 1.57% Lesser of $40 million or 55% 1,064,606.26 US Treasury Note 37.78% N/A
9128284U1 3/28/2023 6/30/2023 2.625% 4.230% 2,987,430.00 2,993,640.00 912828535 5/22/2023 6/30/2023 3.625% 4.656% 996,171.88 996,900.00 912828592 4/10/2023 7/31/2023 1.250% 4.480% 3,468,912.50 3,476,515.00 9128282D1 5/16/2023 8/31/2023 1.375% 4.803% 2,475,325.00 2,475,100.00 912828T26 3/28/2023 9/30/2023 1.375% 4.430% 2,954,430.00 2,960,640.00 912828T91 4/10/2023 10/31/2023 1.625% 4.500% 2,461,250.00 2,461,725.00 912828U57 5/16/2023 11/30/2023 2.125% 4.460% 2,469,100.00 2,460,650.00 912828V23 3/28/2023 12/31/2023 2.250% 4.350% 2,953,290.00 2,947,140.00 912828529 4/10/2023 1/31/2024 2.500% 4.530% 2,460,150.00 2,455,175.00 9128286G0 5/16/2023 2/29/2024 2.375% 4.501% 2,459,075.00 2,447,450.00 Federal Home Loan Mortgage Corporation: 7.63% 25.00%
3134GV5R5 7/15/2020 7/15/2024 0.570% 0.570% 1,000,000.00 948,390.00 3137EAEPO 1/29/2021 2/12/2025 1.500% 0.337% 4,188,112.71 3,798,560.00 Federal National Mortgage Association: 12.72% 25.00%
3135G05X7 1/29/2021 8/25/2025 0.375% 0.519% 8,645,922.29 7,956,585.00 Federal Farm Credit Banks: 5.88% 25.00%
3133ENVD9 4/26/2022 4/26/2027 2.875% 2.900% 3,995,360.00 3,829,480.00 Federal Home Loan Banks: 18.07% 25.00%
3130ATBLO 9/19/2022 12/8/2023 3.625% 3.810% 3,991,360.00 3,967,000.00 3130AITF6 7/14/2020 7/14/2025 0.740% 0.740% 1,000,000.00 919,080.00 3130AJTX7 7/21/2020 7/21/2025 0.720% 0.720% 625,000.00 573,837.50 3130AMFS6 8/12/2021 6/12/2026 0.750% 0.735% 2,001,415.36 3130A8XY4 10/18/2021 9/11/2026 1.875% 1.100% 4,665,690.00 4,198,185.00
44.30% 60.00%
3 67.978.574.81 100.00% $ 65,840.917.77
Restricted for Speciflc Use
PARS 115 Pension Trust $ 2,000,000.00 2.94% 20.00% $ 1,968,941.28 Average weighted maturlty of Investments, excluding Investment Pools: 525 days Average weiehted maturity of Investments, including Investment Pools and Money Market: 461 days Average weighted yield of Investments, excluding Investment Pools: 2.796% Average weighted yield of investments, including Investment Pools and Money Market: 3.004% • Market value of Clty Investments is provided by US Bank
SUCT NESTE
PIA/LAIF Performance Report
as of 07/05/23
Quarterly Performance PMIA Average Monthly
Quarter Ended 03/31/23 Effective Yields)
2.74 June 3.167
0.00007493902135155 May 2.993
0.34 April 2.870
LAIF Fair Value Factor (" 0.986510329 March 2.831
PMIA Daily). 2.87 February 2.624
PMIA Quarter to Date!* 2.63 January 2.425
PMIA Average Life' 275
Pooled Money Investment Account
Monthly Portfolio Composition (1)
05/31/23
$179.6 billion
Corporate
Commercial Bonds
Time Paper 0.25%
4.87%. Loans
Deposits
2.89% .0.19%
Certificates of
Deposit/Bank Notes -
6.96%
Agencies-
20.37%
Treasuries
64.47%
Chart does not include $2,938,000.00 in mortgages, which equates to 0.002%. Percentages may not total 100% due to rounding Daily rates are now available here. View PMIA Daily Rates tes: The apportionment rate includes interest earned on the CaPERS Supplemental Pension Payment pursuant to Government Code 208 (1) and interest earned on the Wildfire Fund loan pursuant to Public Utility Code 3288 ( he percentage of administrative cost equals the total odministrative cost divided by the quarterly interest earnings. The law provides t ninistrative costs are not to exceed 5% of quarterly EARNINGS of the fund. However, if the 13-week Daily Treasury Bill Rate on the last da the fiscal year is below 1%, then administrative costs shall not exceed 8% of quarterly EARNINGS of the fund for the subsequent fiscal year.
Source:
(1) State of California, Office of the Treasurer
121 State of Calfiornia, Office of the Controller
3 State of California
PMIA Pooled Money Investment Account
Market Valuation
5/31/2023
Carrying Cost Plus
Description Accrued Interest Purch. Fair Value Accrued Interest United States Treasury:
Bills 26.335.204.594.44 26.711.840,500.00 NA
Notes 89.471.753,796.21 87.208,631,500.00 302.522.258.00 Federal Agency: 1,244.384.26
SBA 310.346,047.44 $ 309,774.518.48 S
MBS-REMICS 2,937,764.44 $ 2.894,533.81 13.084.68
Debentures $ 8.790,530,488.36 8.648,387,650.00 58.865.671.50 Debentures FR $
Debentures CL 2,300,000,000.00 $ 2,235,574,000.00 17,688,993.00 Discount Notes $ 22.277.933,333.35 22.567.976.000.00 NA Supranational Debentures 2.924,071.517.94 $ 2,857,625,400.00 $ 18,059,340.40 $ - $
Supranational Debentures FR
CDs and YCDs FR $
Bank Notes 200,000,000.00 199.788.037.97 $ 3.765.416.67 CDs and YCDs $ 12,300,000,000.00 12,289.496,672.24 $ 189.165,097.19 Commercial Paper 8.744,396.763.87 8.819.671.458.32 NA
Corporate:
Bonds FR $ $
449.354.132.71 426,647,530.00 $ 3,278,826.53
Bonds
Repurchase Agreements 67 67 €A 67 :
Reverse Repurchase
Time Deposits 5.193.000.000.00 5,193,000,000.00 NA
PMIA & GF Loans 342,644,000.00 342,644,000.00 NA
TOTAL 179.642.172,438.76 s 177.813.951,800.82 s 594.603.072.23 Fair Value Including Accrued Interest $ 178,408,554,873.05 Repurchase Agreements, Time Deposits, PMIA & General Fund loans, and Reverse Repurchase agreements are carried at portfolio book value (carrying cost). 4 LAIF Regular Monthly Statement
California State Treasurer
Fiona Ma, CPA
Local Agency Investment Fund June 27, 2023
P.O. Box 942809
Sacramento, CA 94209-0001 LAIF Home
(916) 653-3001 PMIA Average Monthly Yields
CITY OF LAGUNA NIGUEL
TREASURER
30111 CROWN VALLEY PARKWAY
LAGUNA NIGUEL, CA 92677
Iran Type Definitions
Account Number:
May 2023 Statement
Web
Tran Confirm Confirm
Directive Transaction Type Nanter Authorized Caller Amount Date Date
5/3/2023 5/3/2023 RW 1729071 N/A KRISTIN FORIER -2,000,000.00 5/15/2023 5/15/2023 RW 1729463 N/A KRISTIN FORTER -4,900,000.00 5/19/2023 5/19/2023 RW 1729667 N/A KRISTIN FORTER -1,300,000.00 Account Summary
Total Deposit: 0.00 Beginning Balance: 9,255,236.80
Total Withdrawal: -8,200,000.00 Ending Balance: 1,055,236.80
COUNTY OF ORANGE
OFFICE OF THE TREASURER-TAX COLLECTOR SUCE COUNT
Shari L. Freidenrich, CPA, CCT, CPFA, ACPFIM
P. O. BOX 4515
IFORN SANTA ANA, CA 92702-4515
octreasurer.com/publicfunds
May 31, 2023
CITY OF LAGUNA NIGUEL
Attn: Eric Hendrickson, Finance Director
30111 Crown Valley Parkway
Laguna Niguel, CA 92677
Fund Number.
MAY 2023 STATEMENT
INVESTMENT BALANCE IN OCIP
Transactions
Transaction Transaction Description Authorized Signer Amount Date
05/01/2023 April 2023 Investment Admin Fee (26.30)
05/01/2023 FY 2021/2022 Investment Admin Fee Refund 730.28 05/22/2023 FY 2021/2022 Interest on Refund 18.92
05/30/2023 February 2023 Interest Paid 2,505.73
Summary
Total Deposit: $ 3,254.93 Beginning Balance: $ 1,061,377.63 Total Withdrawal: $ (26.30) Ending Balance: $ 1,064,606.26 6 OF
OFFICE OF THE TREASURER-TAX COLLECTOR
SHARI L. FREIDENRICH, CPA, CCMT, CPFA, ACPFIM
P.O. Box 4515
CLIFORNE SANTA ANA, CA 92702-4515
octreasurer.com/publicfunds
ORANGE COUNTY INVESTMENT POOL
APPORTIONMENT YIELDS & BASIS POINT FEES
Monthly Apportionment Monthly Apportionment Charged Basis Actual Basis FY 22/23 Date Year Point Fees
Gross Yield Net Yield Point Fees
YTD July 2022 0.848% (1) 0.793% (1) 5.5
GROSS August 2022 1.055% (1) 1.000% (1) 5.5
YIELD September 2022 1.280% (1) 1.225% (1) 5.5
1.503% October 2022 1.827% (1) 1.772% (1) 5.5
November 2022 2.405% 2.350% 5.5
YTD NET
YIELD
1.448%
Vote: Effective December 1, 2022, reporting of Apportionment Yields is no longer being reported for the Orange County Investment Pool and yied deari only being reported for the Orange County Treasurer's Pool (OCT). See the OCTP report for December 1o June 2023 gross Monthly Apportionment Monthly Apportionment Charged Basis Actual Basis FY 21/22 Date Year
Gross Yield Net Yield Point Fees Point Fees
July 2021 0.593% 0.535% 5.8
YTD August 2021 0.575% 0.517% 5.8
GROSS September 2021 0.562% 0.504% 5.8
YIELD October 2021 0.514% 0.456% 5.8
0.523% November 2021 0.515% 0.457% 5.8
December 2021 0.396% 0.338% 5.8 Not Yet
January 2022 0.402% 0.344% 5.8 Available
February 2022 0.439% 0.381% 5.8
YTD NET March 2022 0.462% 0.404% 5.8
YIELD April 2022 0.513% (1) 0.455% (1) 5.8
0.471% May 2022 0.614% (1) 0.594% (1) 2.0
June 2022 0.722% (1) 0.702% (1) 2.0
Monthly Apportionment Monthly Apportionment Charged Basis Actual Basis FY 20/21 Date Year Gross Yield Net Yield Point Fees Point Fees July 2020 1.223% 1.164% 5.9 5.0
YTD August 2020 1.144% 1.085% 5.9 5.0
GROSS September 2020 1.060% 1.001% 5.9 5.0
YIELD October 2020 0.956% 0.897% 5.9 5.0
0.802% November 2020 0.899% 0.840% 5.9 5.0
December 2020 0.767% 0.708% 5.9 5.0
January 2021 0.694% 0.635% 5.9 5.0
February 2021 0.803% 0.744% 5.9 5.0
YTD NET March 2021 0.624% 0.565% 5.9 5.0
YIELD April 2021 0.539% 0.480% 5.9 5.0
0.752% May 2021 0.562% 0.503% 5.9 5.0
June 2021 0.598% 0.588% 1.0 5.0
(1) Revised gross and net yields based on adjustments to interest income 7 Mission: Ensure safe and timely receipt, deposit, collection and investment of public funds.
ORANGE COUNTY TREASURER-TAX COLLECTOR
SUMMARY OF INVESTMENT DATA
INVESTMENT TRENDS
MAY 2023 INCREASE NET CHANGE INCREASE
APRIL 2023 (DECREASE) MAY 2022 NET CHANGE%
(DECREASE)
Orange County Investment Pool (OCIP)
End Of Month Market Value!? 6,092,473,079 6,903,425,999 (810,952,920) -11.75% 5,919,294,945 173,178,134 2.93% End Of Month Book Value!? 6,156,932,409 6,969,431,675 (812,499,266) -11.66% 5,993, 184,285 163,748,124 2.73% Monthly Average Balance? 6,580,050,682 7.428,617,098 (848,566,416) - 11.42% 6,299,219,799 280,830,883 4.46% Year-To-Date Average Balance 6,241,978,997 6,208,171,828 33,807,168 0.54% 5,853,326,677 388,652,319 6.64% Monthly Accrued Earnings? 20,265,091 21,873,810 (1,608,719) -7.35% 3,468,237 16,796,854 484.31% Monthly Net Yield? 3.566% 3.509% 0.057% 1.62% 0.594% 2.972% 500.34% Year-To-Date Net Yield° 2.451% 2.331% 0.120% 5.14% 0.471% 1.980% 420.35% Annual Estimated Gross Yield 2.500% 2.500% 0.000% 0.00% 0.523% 1.977% 378.01% Weighted Average Maturity (WAM) 227 209 18 8.61% 306 (79) -25.82% Orange County Educational Investment Pool (OCEIP)
End Of Month Market Value 2 8,419,878,599 8,568,839,197 (148,960,598) -1.74% 6,364,549,747 2,055,328,852 32.29% Egd Of Month Book Value!? 8,509,930,545 8,651,240,770 (141,310,225) -1.63% 6,446,401,315 2,063,529,230 32.01% Monthly Average Balance? 8,536,437,282 8,203,474,464 332,962,818 4.06% 6,515,698,177 2,020,739,105 31.01% Year-To-Date Average Balance? 7,229,009,532 7,098,266,757 130,742,775 1.84% 5,592,408,799 1,636,600,733 29.26% Monthly Accrued Earnings? 26,369,095 24,066,136 2,302,958 9.57% 3,339,292 23,029,803 689.66% Monthly Net Yield 3.566% 3.509% 0.057% 1.62% 0.600% 2.966% 494.33% Year-To-Date Net Yield? 2.477% 2.344% 0.134% 5.70% 0.480% 1.997% 416.12% Annual Estimated Gross Yield" 2.500% 2.500% 0.000% 0.00% 0.531% 1.969% 370.81% Weighted Average Maturity (WAM)S 227 209 18 8.61% 314 (87) -27.71% 1 Market values provided by Bloomberg and Northern Trust. Market values for OCIP and OCEIP are lower than book values. Short-term rates have risen sharply this past year causing the market values on these pools to be slightly below book values. The OCIP and OCEIP have sufficient liquidity to meet projected cash flow needs. 2 Month Average Balance and Year To Date Average Balance are ignor han Ane for year franty us to tuning for new bat programs y todard and sale overming proximatly 73 mili. The CEIP End of Month Market Value, End or Month Book Values, 3 The OCIP and OCEIP Monthly Accrued Earnings, Monthly Net Yields and Year-To-Date Net Yields are higher than the prior year, due to increased average monthly balances and higher interest rates, with the FOM raising short-term rates by 3.50% since July 1, 2022. 4 The OCIP and OCEIP Annual Estimated Gross Yields are higher than the prior year due to continued higher yields from short-term rate increases. The OCIP and OCEIP Annual Estimated Gross Yields for May 2022 are reported at the actual annual gross yields for FY 21-22. 5 The OCIP and OCEIP WAM decreased from the prior year due to shorter term purchases in a rising interest rate environment.
ORANGE COUNTY TREASURER-TAX COLLECTOR
ORANGE COUNTY INVESTMENT FUND (OCIF)
ORANGE COUNTY TREASURER'S POOL (OCTP) AND SPECIFIC INVESTMENT ACCOUNTS (' FOR THE MONTH ENDED: May 31, 2023
OCT INVESTMENT STATISTICS - By Reporting Entity!?
Average Days to Maturity Daily Yield as of 5/31/2023 MONTHLY Gross Hold Current NAV
DESCRIPTION CURRENT BALANCES
MARKET Value $ 6,092,473,079 227 3.653% 3.596% 0.9895(2) COST (Capital) s 6,112,937,862
Orange County Investment Pool (OCIP)
MONTHLY AVG Balance S 6,580,050,682
BOOK Value S 6,156,932,409
MARKET Value $ 8,419,878,599 227 3.653% 3.596% 0.9895(2) Orange County Educational Investment COST (Capital) $ 8,448,559,893 Pool (OCEIP) MONTHLY AVG Balance $ 8,536,437,282
BOOK Value S 8,509,930,545
INVESTMENT STATISTICS - Specific Investment Accounts")
DESCRIPTION CURRENT BALANCE BY SPECIFIC INVESTMENT
Specific Investment Specific Investment Fund Market Value Book Value Current NAV Funds: Totals:
Pension Prepayment-CEO (PP-CEO) MARKET Value $ 557,881,035 PP-CEO $ 503,004,612 506,494,070 0.9931 Fountain Valley School District Fund 40 (FVSD) COST (Capital) $ 556,909,720 FVSD 32,803,463 34,076,477 0.9626 CCCD Series 2017E Bonds (CCCD) MONTHLY AVG Balance $ 556,885,939 CCCD 22,072,959 23,142,238 0.9538 BOOK Value $ 563,712,785
OCIF TOTALS
INVESTMENTS YEAR-TO-DATE EARNINGS
OCIP $ 6,112,937,862 HOCIP 144,981,877
OCEIP 8,448,559,893 OCEIP 166,987,416
Specific Investment 556,909,719
Cash 248,588,693
Total Assets in the County Treasury $ 15,366,996,167 Total OCTP Year-To-Date Earnings $ 313,969,293
KEY POOL STATISTICS
INTEREST RATE YIELD WEIGHTED AVERAGE MATURITY (WAM)
OCIP - YTD NET YIELD 2.451% OCTP 227
OCEIP - YTD NET YIELD 2.477% LGIP (Standard & Poors) 28 90-DAY T-BILL YIELD - MONTHLY AVERAGE 5.224%
(1) Reported in compliance with Government Code Section 53646 (b)(1), with 2022 IPS requiring at least quarterly reporting per Govemment Code Section 53646 (d). in Section VIl of this report.
Continue to say bow bok tatues, PEo has also decreased iany a 9851, The CI, CER, PE FiS, andic hava but antiquiry to me poete as aw nect 9 ORANGE COUNTY TREASURER - TAX COLLECTOR
OCTP INVESTMENT TYPE AND CREDIT QUALITY BY MARKET VALUE - (%) May 31, 2023
100%
90%
80%
70%
60%
50% :
40%
30%
10 20%
10% -
0% +
Investment Type Credit Quality
Orange County Treasurer's Pool Orange County Treasurer's Pool Investment Type by Market Value - (%) Credit Quality by Market Value (%) In Thousands In Thousands
U.S. GOVERNMENT AGENCIES 10,224,713 70.46% IUS GOVERNMENT 14,439,623 99.50% U.S. TREASURIES 2,860,923 19.71% NR 72,729 0.50%
MONEY MARKET MUTUAL FUNDS 1,353,987 9.33% 14,512,352 100.00% LOCAL AGENCY INVESTMENT FUND 72.729 0.50%
14.512,352 100.00%
19075
00- -M -UC-UU -152-04
0220657-00-04007-04
usbank
CITY OF LAGUNA NIGUEL
ACCOUNT NUMBER: May 1, 2023 to May 31, 2023
MARKET VALUE SUMMARY
Current Period
05/01/23 to 05/31/23
Change: 9,310,016.69
Beginning Market Value $49,980,613.00 $70,000,000
Taxable Interest 5,431.22 $60,000,000
Cash Receipts 9,446,325.35 $50,000,000
Change in Investment Value -141,739.88 $40,000,000
Ending Market Value $59,290,629.69 $30,000,000
$20,000,000
$10,000,000
$0
Beginning Ending
MV MV
$49,980,613.00 $59,290,629.69
12 $53,674.482.50
Taxable Bonds
$1,243,477.82 100.00 $59,290,629.69 Total Market Value
964,600.00 90.50 53,674,482.50 Taxable Bonds
278,877.82 9.50 5,616,147.19 Cash & Equivalents
$5,616,147.19
Cash & Equiv
Annual Income Total Market Value Assets
Estimated % of Current Period
ASSET SUMMARY
May 1, 2023 to May 31, 2023 ACCOUNT NUMBER:
CITY OF LAGUNA NIGUEL
usbank
0220657-00-04007-04
00--M -UC-UU -152-04
19075
13 $5,431.22 Total Current Period Income
5,431.22 Taxable Interest
Current Period
Income Received
INCOME SUMMARY
May 1, 2023 to May 31, 2023 ACCOUNT NUMBER:
CITY OF LAGUNA NIGUEL
usbank
0220657-00-04007-04
00--M -UC-UU -152-04
19075
$0.00 Ending Cash 05/31/2023
-58,647.19 Net Money Market Activity
-9,393,109.38 Purchases
9,446,325.35 Cash Receipts
5,431.22 Taxable Interest
$0.00 Beginning Cash 05/01/2023
Cash
CASH SUMMARY
May 1, 2023 to May 31, 2023 ACCOUNT NUMBER:
CITY OF LAGUNA NIGUEL
usbank
0220657-00-0-057-04
19075
19075
00- -M -UC-UU -152-04
0220657-00-04007-04
usbank
CITY OF LAGUNA NIGUEL
ACCOUNT NUMBER: May 1, 2023 to May 31, 2023
ASSET DETAIL
Security Description Percent
Unrealized of Total Estimated Estimated
Shares/Face Amt Price Market Value Tax Cost Gain/Loss Portfolio Annual Income Current Yield Cash & Equivalents
Cash/Money Market
First American Treasury Oblig - 31846V542
Fd CIZ
#3678
5,616,147.190 1.0000 5,616,147.19 5,616,147.19 0.00 9.5 278,877.82 4.97 Total Cash/Money Market $5,616,147.19 $5,616,147.19 $0.00 9.5 $278,877.82 Total Cash & Equivalents $5,616,147.19 $5,616,147.19 $0.00 9.5 $278,877.82 Taxable Bonds
US Government Issues
FHLMG - 3137EAEPO
1.500 02/12/2025
4,000,000.000 94.9640 3,798,560.00 4,188,112.71 -389,552.71 6.4 60,000.00 1.58 FHLMC MTN - 3134GV5R5
0.570 07/15/2024
1,000,000.000 94.8300 948,300.00 1,000,000.00 -51,700.00 1.6 5,700.00 0.60 ENMA - 3135G05X7
0.375 08/25/2025
8,700,000.000 91.4550 7,956,585.00 8,645,922.29 -689,337.29 13.4 32,625.00 0.41 Federal Farm Credit Bks - 3133ENVD9
2.875 04/26/2027
4,000,000.000 95.7370 3,829,480.00 3,995,360.00 -165,880.00 6.5 115,000.00 3.00 Federal Home Loan Bks - 3130AJTX7
0.720 07/21/2025
625,000.000 91.8140 573,837.50 625,000.00 -51,162.50 1.0 4,500.00 0.78 19075
00--M -UC-UU -152-04
0220657-00-04007-04
usbank
CITY OF LAGUNA NIGUEL
ACCOUNT NUMBER: May 1, 2023 to May 31, 2023
ASSET DETAIL (continued)
Security Description Percent
Unrealized of Total Estimated Estimated
Shares/Face Amt Price Market Value Tax Cost Gain/Loss Portfolio Annual Income Current Yield Federal Home Loan Bks - 3130AJTF6
0.740 07/14/2025
1,000,000.000 91.9080 919,080.00 1,000,000.00 -80,920.00 1.6 7,400.00 0.80 Federal Home Loan Bks - 3130AMFS6
0.750 06/12/2026
2,000,000.000 90.4260 1,808,520.00 2,001,415.36 -192,895.36 3.1 15,000.00 0.83 Federal Home Loan Bks - 3130A8XY4
1.875 09/11/2026
4,500,000.000 93.2930 4,198,185.00 4,665,690.00 -467,505.00 7.1 84,375.00 2.01 Federal Home Loan Bks - 3130ATBLO
3.625 12/08/2023
4,000,000.000 99.1750 3,967,000.00 3,991,360.00 -24,360.00 6.7 145,000.00 3.65 US Treasury Bond - 91282835
1.375 06/30/2023
1,000,000.000 99.6900 996,900.00 996,171.88 728.12 1.7 13,750.00 1.38 US Treasury Note - 912828592
1.250 07/31/2023
3,500,000.000 99.3290 3,476,515.00 3,468,912.50 7,602.50 5.9 43,750.00 1.26 U S Treasury Note - 9128282D1
1.375 08/31/2023
2,500,000.000 99.0040 2,475,100.00 2,475,325.00 -225.00 4.2 34,375.00 1.39 U S Treasury Note - 912828T26
1.375 09/30/2023
3,000,000.000 98.6880 2,960,640.00 2,954,430.00 6,210.00 5.0 41,250.00 1.39 US Treasury Note - 912828T91
1.625 10/31/2023
2,500,000.000 98.4690 2,461,725.00 2,461,250.00 475.00 4.2 40,625.00 1.65 U S Treasury Note - 912828U57
2125 11/30/2023
2,500,000.000 98.4260 2,460,650.00 2,469, 100.00 -8,450.00 4.2 53,125.00 2.16 19075
00--M -UC-UU -152-04
0220657-00-04007-04
usbank
CITY OF LAGUNA NIGUEL
ACCOUNT NUMBER: May 1, 2023 to May 31, 2023
ASSET DETAIL (continued)
Security Description Percent
Unrealized of Total Estimated Estimated
Shares/Face Amt Price Market Value Tax Cost Gain/Loss Portfolio Annual Income Current Yield U S Treasury Note - 912828V23
2.250 12/31/2023
3,000,000.000 98.2380 2,947,140.00 2,953,290.00 -6,150.00 5.0 67,500.00 2.29 U S Treasury Note - 9128286G0
2.375 02/29/2024
2,500,000.000 97.8980 2,447,450.00 2,459,075.00 -11,625.00 4.1 59,375.00 2.43 U S Treasury Note - 9128285Z9
2.500 01/31/2024
2,500,000.000 98.2070 2,455,175.00 2,460,150.00 4.1 62,500.00 2.55 TS Treasury Note - 9128284U1
2625 06/30/2023
3,000,000.000 99.7880 2,993,640.00 2,987,430.00 6,210.00 5.0 78,750.00 2.63 Total US Government Issues $53,674,482.50 $55,797,994.74 -$2,123,512.24 90.5 $964,600.00 Total Taxable Bonds $53,674,482.50 $55,797,994.74 -$2,123,512.24 90.5 $964,600.00 Total Assets $59,290,629.69 $61,414,141.93 -$2,123,512.24 100.0 $1,243,477.82 Estimated Current Yield 2.09
ASSET DETAIL MESSAGES
Time of trade execution and trading party (if not disclosed) will be provided upon request. 19075
00--M -UC-UU -152-04
0220657-00-04007-04
usbank.
CITY OF LAGUNA NIGUEL
ACCOUNT NUMBER: May 1, 2023 to May 31, 2023
ASSET DETAIL MESSAGES (continued)
Estimated Current Yield and Estimated Annual Income are estimates provided for informational purposes only and should not be relied on for making investment, trading, or tax decisions. The estimates may not represent the actual value earned by your investments and they provide no guarantee of what your investments may earn in the future. 18 19075
00- -M -UC-UU -152-04
0220657-00-04007-04
usbank
CITY OF LAGUNA NIGUEL
ACCOUNT NUMBER: May 1, 2023 to May 31, 2023
TRANSACTION DETAIL
Date
Posted Activity Description Cash Tax Cost
Beginning Balance 05/01/2023 $0.00 $51,962,385.36
05/01/23 Asset Income Interest Earned On 20,312.50
U S Treasury Nt 1.625% 10/31/23
0.008125 USD/$1 Pv On 2.500,000 Par Value Due 4/30/23
05/01/23 Asset Income Interest Earned On 475.67
First Am Govt Ob Fd CIZ
Interest From 4/1/23 To 4/30/23
05/01/23 Asset Income Interest Earned On 11,296.52
First Am Treas Ob Fd CIZ
Interest From 4/1/23 To 4/30/23
505/16/23 Cash Receipt Cash Receipt 7,447,489.45
Recd From City Of Laguna Niguel
Received In Account Via ACH
Due 10/23/21
Transfer Of Fiunds To Custody Account
05/16/23 Purchase -2,475,325.00 2,475,325.00
Trade Date 5/15/23
Purchased Through Cantor Fitzgerald & Co.
2,500,000 Par Value At 99.013 %
05/16/23 Purchase Accrued Interest Paid Accrued Interest On Purchase Of -7,192.60 Insome Debit 7, 19260-053123
05/16/23 Purchase Purchased 2,500,000 Par Value Of -2,469,100.00 2,469,100.00 U S Treasury Nt 2.125% 11/30/23
Trade Date 5/15/23
Purchased Through Cantor Fitzgerald & Co.
2,500,000 Par Value At 98.764 %
05/16/23 Purchase Accrued Interest Paid Accrued Interest On Purchase Of -24,373.28 U S Treasury Nt 2.125% 11/30/23
Income Debit 24,373.28-USD
05/16/23 Purchase Purchased 2,500,000 Par Value Of -2,459,075.00 2,459,075.00 U S Treasury Nt 2.375% 2/29/24
Purchased Through Cantor Fitzgerald & Co.
2.500.000 Par Value At 98.363 %
19075
00- -M -UC-UU -152-04
0220657-00-04007-04
usbank
CITY OF LAGUNA NIGUEL
ACCOUNT NUMBER: May 1, 2023 to May 31, 2023
TRANSACTION DETAIL (continued)
Date
Posted Activity Description Cash Tax Cost
05/16/23 Purchase Accrued Interest Paid Accrued Interest On Purchase Of -12,423.57 U S Treasury Nt 2.375% 2/29/24
Income Debit 12 423.57- USD
05/22/23 Cash Receipt Cash Receipt 1,998,835.90
Recd From City Of Laguna Niguel
Received In Account Via ACH
Due 10/24/21
Transfer Of Fiunds To Custody Account
05/22/23 Purchase Purchased 1,000,000 Par Value Of -996,171.88 996,171.88 U S Treasury Bd 1.375% 6/30/23
Trade Date 5/19/23
Purchased Through Cantor Fitzgerald & Co.
1,000,000 Par Value At 99.617188%
05/22/23 Purchase Accrued Interest Paid Accrued Interest On Purchase Of -5,393.65 U S Treasury Bd 1.375% 6/30/23
Income Debit 5,393.65- USD
05/22/23 Purchase -993,437.50 993,437.50
1,00, 00 Par Value A 934575 ald & Co.
05/22/23 Purchase Accrued Interest Paid Accrued Interest On Purchase Of -3,832.87 U S Treasury Nt 1.250% 7/31/23
Income Debit 3.832.87- USD
05/31/23 Asset Income Interest Earned On 26,562.50
U S Treasury Nt 2.125% 11/30/23
0.010625 USD/S1 Pv On 2.500,000 Par Value Due 5/31/23
Purchase Combined Purchases For The Period 5/ 1/23 - 5/31/23 Of -58,647.19 58,647.19 First Am Treas Ob Fd CIZ
Ending Balance 05/31/2023 $0.00 $61,414,141.93
19075
00- -M -UC-UU -152-04
0220657-00-04007-04
usbank
CITY OF LAGUNA NIGUEL
ACCOUNT NUMBER: May 1, 2023 to May 31, 2023
BOND SUMMARY
60%
50%
40%
30%
20%
10%
0%
2023 2024 2025 2026 2027
Percentage of
Par Value Market Value Category
MATURITY
2023 25,000,000.00 24,739,310.00 46.10
2024 6,000,000.00 5,850,925.00 10.90
2025 14,325,000.00 13,248,062.50 24.68
2026 6,500,000.00 6,006,705.00 11.19
2027 4,000,000.00 3,829,480.00
Total of Category $55,825,000.00 $53,674,482.50 100.00
MOODY'S RATING
Aaa 54,825,000.00 52,726,182.50 98.23
N/A 1,000,000.00 948,300.00 1.77
Total of Category $55,825,000.00 $53,674,482.50 100.00
19075
00--M -UC-UU -152-04
0220657-00-04007-04
usbank
CITY OF LAGUNA NIGUEL
ACCOUNT NUMBER: May 1, 2023 to May 31, 2023
BOND SUMMARY (continued)
Percentage of
Par Value Market Value Category
S&P RATING
AA+ 28,825,000.00 27,051,247.50 50.40
N/A 27,000,000.00 26,623,235.00 49.60
Total of Category $55,825,000.00 $53,674,482.50 100.00
BOND SUMMARY MESSAGES
Data contained within this section excluded Mutual Funds, Exchange Traded Funds, and Closed-Ended Funds.
PUBLIC
AGENCY PARS
RETIREMENT
SERVICES
CITY OF LAGUNA NIGUEL Account Report for the Period
PARS Post-Employment Benefits Trust 5/1/2023 to 5/31/2023 Tamara Letourneau
City Manager
City of Laguna Niguel
30111 Crown Valley Parkway
Laguna Niguel, CA 92677
Account Summary
Balance as of Balance as of
Source 5/1/2023 Contributions Earnings Expenses Distributions Transfers 5/31/2023 PENSION $1,985,090.86 $0.00 -$15,189.97 $959.61 $0.00 $0.00 $1,968,941.28 Totals $1,985,090.86 S0.00 -$15,189.97 $959.61 $0.00 50.00 $1,968,941.28 Investment Selection
Source
PENSION Moderately Conservative HighMark PLUS
Investment Objective
Source
The dual goals of the Moderately Conservative Strategy are current income and moderate capital appreciation. The major portion of the assets is PENSION committed to income-producing securities. Market fluctuations should be expected.
Investment Return
Annualized Return
Source 1-Month 3-Months 1-Year 3-Years 5-Years 10-Years Plan's Inception Date PENSION -0.77% 1.62% - 1.03% 1.88% 5/26/2020
Information as provided by US Bank, Trustee for PARS; Not FDIC Insured; No Bank Guarantee; May Lose Value Past performance does not guarantee future results Performance returns may not reflect the deduction of applicable fees, which could reduce retums. Information is deemed reliable but may be subject to change Investment Retum: Annualized rate of retum is the retur on an investment over a period other than one year multiplied or divided to give a comparable one-year retum Account balances are inclusive of Trust Administration, Trustee and Investment Management fees Headquarters - 4350 Von Karman Ave., Suite 100, Newport Beach, CA 92660 800.540.6369 Fax 949.250. 1250 www.pars.org 23