CITY OF LAGUNA NIGUEL
CITY COUNCIL AGENDA ITEM
To: Honorable Mayor and Council Members
FROM: Tamara S. Letourneau, City Manager
DATE: August 1, 2023
SUBJECT: Investment Report as of June 30, 2023
RECOMMENDATION
Staff recommends that the City Council receive and file the City of Laguna Niguel Investment Report as of June 30, 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
At the June 2023 Federal Open Market Committee (FOMC) meeting, the Committee unanimously elected to raise interest rates by 25 basis points, or 0.25%, bringing the upper limit of interest rates to 5.5%.
FRED
jan 2001: 59₴
deral Reserie Sistem lUS
This represents the highest interest rates since January 3, 2001, or over 22 years. Since the year 2000, the longest interest rates stayed at the current level was 14 months, from June 2006 through September 2007, as can be seen in the historical Federal Funds Effective Rate Chart on the previous page. Furthermore, the most recently available FOMC "dot plot" map, shown below, indicates that many of the Committee members anticipate rates to decrease, beginning as early as 2024. At the June FOMC meeting, the average Federal Reserve policy maker forecast for interest rates at the end of 2023 was
5.6%, which is near the 5.50% rate currently. However, the Federal Reserve members median estimate for interest rates at the end of 2024 was 4.60%, and at the end of 2025 it was 3.40%. Longer run estimates, for years beyond 2025, were at 2.50% on average.
Figure 2. FONC participants assessments of appropriate monetary policy: Midpoint of target range or tarvet level for the federal funds rate
2024 2025 Longer run
Both historical interest rate data and forecasts from the FOMC policy makers are clear indicators to staff that now is the time to take advantage of these high yields. Interest rates are not likely to stay at this level for very long and are projected to decrease over the next 12 to 18 months. As a result, staff have been targeting securities with longer maturities to lock in these yields for a more extended period.
Staff also strategically increased the available money to invest by opening a money market sweep account with US Bank. A sweep account allows the City to earn interest on money that is not actively being saved or invested. Unused funds from the City's checking account are automatically transferred into a money market account at the end of each business day but are still available by the start of business the following day. Over
the first six months of 2023, the average balance held in the checking account was approximately $3.7 million. With an average interest rate of 4.710% as of June 30, 2023, the City will earn with interest rates at these elevated levels, the City can expect to earn over $14,000 per month in additional interest. Additionally, because of this new setup, total City money eligible to invest increased by $3.3 million, from $62.6 million to $65.9 million, representing a 5% increase.
The following table compares the portfolio balance as of June 2023 to June 2022.
Portfolio Balance June 2023 June 2022 Difference
Balance $65,902,187 $68,522,135 $(2,619,948)
• From May 2023 to June 2023, the City's total cash and investments had a net decrease of $2,805,387 going from $67,987,575 to $65,902, 187. Cash outlays were higher than receipts for the month. The decrease is mainly derived from the reduction in receipts for the month of June. The City typically receives most of the property tax allotments during the months of December and April each year. With property taxes representing approximately 50% of all revenues, it is not unusual for cash to decrease in June, as the City received just $160,715 in property tax allotments from the County this month.
• The percentage of pooled investments decreased from 3.12% to 0.87%. Staff determined the City received better value by moving those funds into the money market accounts held at US Bank. 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, increased from 461 days to 499 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 2.993% to 3.167%. This is the highest yield available through LAIF since April 2008. The net yield of OCIP increased from 3.566% to 3.732%. The net yield for the First American money market funds in the City's custodian account increased from 4.970% to 5.000%. With the FOMC raised the Federal Funds interest rates in July, staff anticipates each of these yields to increase in the short-term.
• The average weighted yield of City investments, including investment pools and money market, increased from 3.004% to 3.091%. The LAIF rate will continue to increase as the Federal Funds rate also increases. As staff is beginning to target longer-term securities, the City's average weighted yield will trail the LAIF rate over the short term but is anticipated to outperform LAIF over the long term if rates decrease as projected. 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, and
includes cash in the sweep investments. 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
3.091% 4.130% 5.400% 5.470% 3.732% 3.167%
The monthly Investment Report as of June 30, 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 June 30, 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.
Janara Stoneau Im An
Tamara S. Letourneau Trevor Agrelius
City Manager Finance Director
Attachments:
A. Monthly Investment Report as of June 30, 2023
ATTACHMENT A
Investment Report as of June 30, 2023
CITY OF LAGUNA NIGUEL
INVESTMENT REPORT
as of
June 30, 2023
Trevor Agrelius
FINANCE DIRECTOR
August 1, 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 11-23
PARS Statement 24
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 June 30, 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.
Jamas Setonseau an entir An
Tamara S. Letourneau Trevor Agrelius
City Manager Finance Director
1 City of Laguna Niguel
Summary of Cash and Investments
6/30/23
Settlement Maturity Coupon Purchased Percent of Maximum Allowable Market Description Date Date Yield Cost Portfolio Per Investment Policy Value Petty Cash/Change Drawers 2,500.00 0.00% N/A $ 2,500.00 US Bank Checking & Investment Accounts 4.710% 3,341, 119.53 5.07% N/A 3,341,119.53 US Bank Money Market 5.000% 6,061,212.45 9.20% 10.00% 6,061,212.45 Local Agency Investment Fund 3.167% 305,236.80 0.46% Lesser of $40 million or 55% 300,605.90 Orange County Investment Pool 3.732% 267,545.79 0.41% Lesser of $40 million or 55% 267,545.79 US Treasury Note 36.12% N/A
912828592 4/10/2023 7/31/2023 1.250% 4.480% 3,468,912.50 3,489,255.00 9128282D1 5/16/2023 8/31/2023 1.375% 4.803% 2,475,325.00 2,484,400.00 912828T26 3/28/2023 9/30/2023 1.375% 4.430% 2,954,430.00 2,971,530.00 912828T91 4/10/2023 10/31/2023 1.625% 4.500% 2,461,250.00 2,470,500.00 912828U57 5/16/2023 11/30/2023 2.125% 4.460% 2,469,100.00 2,467,200.00 912828V23 3/28/2023 12/31/2023 2.250% 4.350% 2,953,290.00 2,955,360.00 912828529 4/10/2023 1/31/2024 2.500% 4.530% 2,460,150.00 2,458,500.00 9128286G0 5/16/2023 2/29/2024 2.375% 4.501% 2,459,075.00 2,450,675.00 US Treasury Bond
912810EV6 6/22/2023 8/15/2025 6.875% 4.312% 2,104,000.00 2,083,820.00 Federal Home Loan Mortgage Corporation: 7.87% 25.00%
3134GV5R5 7/15/2020 7/15/2024 0.570% 0.570% 1,000,000.00 950,210.00 3137EAEPO 1/29/2021 2/12/2025 1.500% 0.337% 4,188,112.71 3,775,880.00 N Federal National Mortgage Association: 13.12% 25.00%
3135G05X7 1/29/2021 8/25/2025 0.375% 0.519% 8,645,922.29 7,916,565.00 Federal Farm Credit Banks: 6.06% 25.00%
3133ENVD9 4/26/2022 4/26/2027 2.875% 2.900% 3,995,360.00 3,784,640.00 Federal Home Loan Banks: 21.68% 25.00%
3130ATBLO 9/19/2022 12/8/2023 3.625% 3.810% 3,991,360.00 3,970,400.00 3130AJTF6 7/14/2020 7/14/2025 0.740% 0.740% 1,000,000.00 918,530.00 3130AJTX7 7/21/2020 7/21/2025 0.720% 0.720% 625,000.00 570,431.25 3130AMFS6 8/12/2021 6/12/2026 0.750% 0.735% 2,001,415.36 1,783,500.00 3130A8XY4 10/18/2021 9/11/2026 1.875% 1.100% 4,665,690.00 4,152,915.00 3130AWC24 6/23/2023 6/9/2028 4.000% 3.930% 2,006,180.00 1,987,560.00
48.74% 60.00%
$ 65,902,187.43 100.00% $ 63.614,854.92
Restricted for Specific Use
PARS 115 Pension Trust $ 2,000,000.00 3.03% 20.00% $ 2,004,472.28 Average weighted maturity of Investments, excluding Investment Pools: 588 days Average weighted maturity of Investments, including Investment Pools and Money Market 525 days verage weighted yield of Investments, excluding investment Pool 2.784% verage weighted yield of Investments, including Investment Pools and Money Marke 3.091% " Market value of City investments is provided by US Bank IOTE: Market value disclosure is for informational purposes only. City policy is to hold all investments to maturity; therefore, an nrealized gain or loss reflected between the cost and market value of an investment will not be realizec PMIA/LAIF Performance Report
as of 07/19/23
Quarterly Performance PMIA Average Monthly
Quarter Ended 06/30/23 Effective Yields(1)
LAIF Apportionment Rate?): 3.15 June 3.167
LAIF Earnings Ratio(2) 0.00008636172883763 May 2.993
LAIF Administrative Cost* TBD April 2.870
LAIF Fair Value Factor(1). 0.984828499 March 2.831
PMIA Daily(). 3.26 February 2.624
PMIA Quarter to Date(. 3.01 January 2.425
PMIA Average Life/ 260
Pooled Money Investment Account
Monthly Portfolio Composition (1)
06/30/23
$178.4 billion
Corporate
Commercial Bonds
Time Paper 0.26%
Deposits 4.33% Loans
2.85% 0.20%
Certificates of
Deposit/Bank Notes
7.51%
Agencies -
21.77%
Treasuries
63.08%
Chart does not include $2,861,000.00 in mortgages, which equates to 0.002%. Percentages may not total 100% due to rounding.
Daily rates are now available here. View PMIA Daily Rates Notes: The apportionment rate includes interest earned on the CaPERS Supplemental Pension Payment pursuant to Government Code 20825 (c)(1) and interest earned on the Wildfire Fund loan pursuant to Public Utility Code 3288 (a). *The percentage of administrative cost equals the total administrative cost divided by the quarterly interest earnings. The law provides tha administrative costs are not to exceed 5% of quarterly EARNINGS of the fund. However, if the 13-week Daily Treasury Bill Rate on the last day o the fiscal year is below 1%, then administrative costs shall not exceed 8% of quarterly EARNINGS of the fund for the subsequent fiscal year.
Source:
(1) State of California, Office of the Treasurer
(2) State of Calfiornia, Office of the Controller
3 State of California
Pooled Money Investment Account
Market Valuation
CRET LIQUIDITY THEO 6/30/2023
Carrying Cost Plus
Description Accrued Interest Purch. Amortized Cost Fair Value Accrued Interest United States Treasury:
Bills 26,007,755,477.17$ 26,399,578,085.33 26,373,531,500.00 NA Notes 86,519,529,543.76 $ 86,509,828,710.82 $ 84,164,502,000.00 $ 284,909,808.50 Federal Agency:
SBA $ 304,224,258.70 $ 304,224,258.70 $ 303,681,095.57 $ 1,346,489.58 MBS-REMICS 2,861,107.99 2,861.107.99 $ 2,796,239.71 12,733.34 Debentures 8,945,771,764.62 8,944,151.139.64 $ 8,759,821,400.00 55,422,809.00 Debentures FR
Debentures CL 1,700,000,000.00 1,700,000,000.00 $ 1,647,748,000.00 10,856,492.50 Discount Notes $ 24,944,635,104.19 25,263,483,034.62 $ 25,266,731,500.00 NA Supranational Debentures $ 2,922,770,687.63 2,922,770,687.63 $ 2,850,780,700.00 18,059,340.40 Supranational Debentures FR $ - $
CDs and YCDs FR $ - - $
Bank Notes $ 200,000,000.00 200,000,000.00 $ 199,864,525.38 $ 4,632,083.33 CDs and YCDs $ 13,200,000,000.00 13,200,000,000.00 $ 13,189,091,719.79 $ 224,912,305.57 Commercial Paper $ 7,730,447,541.69 $ 7,808,541.430.55 $ 7,803,585,652.74 NA Corporate:
Bonds FR $ $ $ $
Bonds $ 463,858,804.42 $ 463,789,526.64 $ 438,964,830.00 $ 3,327,576.53 Repurchase Agreements $ - $ $ $
Reverse Repurchase $ $ $
Time Deposits $ 5,082,000,000.00 $ 5,082,000,000.00 5,082,000,000.00 NA PMIA & GF Loans $ 358,954,000.00 $ 358,954,000.00 $ 358,954,000.00 NA TOTAL $ 178,382,808,290.17 $ 179,160,181,981.92 | $ 176,442,053, 163.19 $ 603.479,638.75 Fair Value Including Accrued Interest $ 177,045,532,801.94 Repurchase Agreements, Time Deposits, PMIA & General Fund loans, and Reverse Repurchase agreements are carried at portfolio book value (carrying cost).
The value of each participating dollar equals the fair value divided by the amortized cost (0.984828499).
As an example: if an agency has an account balance of $20,000,000.00, then the agency would report its participation in the LAIF valued at $19,696,569.99 or $20,000,000.00 x 0.984828499.
LAIF Regular Monthly Statement
California State Treasurer
Fiona Ma, CPA
Local Agency Investment Fund July 03, 2023
P.O. Box 942809
Sacramento, CA 94209-0001 LAIF Home
PMIA Average Monthly.
(916) 653-3001
Yields
CITY OF LAGUNA NIGUEL
TREASURER
30111 CROWN VALLEY PARK WAY
LAGUNA NIGUEL, CA 92677
Iran Type Definitions
Account Number:
June 2023 Statement
Web
Effective Transaction Tran Confirm Confirm
Date Type Number Number Authorized Caller Amount
Date
6/1/2023 6/1/2023 RD 1730084 N/A TREVOR AGRELIUS 950,000.00 6/12/2023 6/12/2023 RW 1730427 N/A KRISTIN FORIER -1,700,000.00 Account Summary.
Total Deposit: 950,000.00 Beginning Balance: 1,055,236.80 Total Withdrawal: -1,700,000.00 Ending Balance: 305,236.80
COUNTY OF ORANGE
OFFICE OF THE TREASURER-TAX COLLECTOR CE COUNTY
g Shari L. Freidenrich, CPA, CCT, CPFA, ACPFIM
P. O. BOX 4515
CALIFOR SANTA ANA, CA 92702-4515
octreasurer.com/publicfunds
June 30, 2023
CITY OF LAGUNA NIGUEL
Attn: Eric Hendrickson, Finance Director
30111 Crown Valley Parkway
Laguna Niguel, CA 92677
Fund Number :
JUNE 2023 STATEMENT
INVESTMENT BALANCE IN OCIP
Transactions
Transaction Transaction Description Authorized Signer Amount Date
06/01/2023 May 2023 Investment Admin Fee $ (27.28)
06/13/2023 Withdrawal Kristin Forier $ (800,000.00)
06/27/2023 March 2023 Interest Paid $ 2,966.81
Summary
Total Deposit: $ 2,966.81 Beginning Balance: $ 1,064,606.26 Total Withdrawal: $ (800,027.28) Ending Balance: $ 267,545.79 6 OF
UNTY ORy OFFICE OF THE TREASURER-TAX COLLECTOR CHANCE COUNT SHARI L. FREIDENRICH, CPA, CCMT, CPFA, ACPFIM
CO
P.O. BOX 4515
CALIFORNI 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 Point Fees
Gross Yield Net Yield
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%
Note: Effective December 1, 2022, reporting of Apportionment Yields is no longer being reported for the Orange County Investment Pool and yields are only being reported for the Orange County Treasurer's Pool (OCTP). See the OCTP report for December 2022 to June 2023 gross and net yields.
FY 21/22 Date Monthly Apportionment Monthly Apportionment Charged Basis Actual Basis 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)
0.471% May 2022 0.614% (1) 0.594% (1) 2.0
June 2022 0.722% (1) 0.702% (1) 2.0
FY 20/21 Date Monthly Apportionment Monthly Apportionment Charged Basis Actual Basis Year Net Yield Point Fees Point Fees
Gross Yield
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 Mission: Ensure safe and timely receipt, deposit, collection and investment of public funds.
ORANGE COUNTY TREASURER-TAX COLLECTOR
SUMMARY OF INVESTMENT DATA
INVESTMENT TRENDS
INCREASE NET CHANGE INCREASE
JUNE 2023 MAY 2023 (DECREASE) % JUNE 2022 (DECREASE) NET CHANGE % Orange County Investment Pool (OCIP)
End Of Month Market Value' 5,862,622,195 $ 6,092,473,079 (229,850,884) -3.77% $ 5,790,272,296 $ 72,349,899 1.25% End Of Month Book Value $ 5,920,645,669 $ 6,156,932,409 $ (236,286,740) -3.84% $ 5,881,937,318 $ 38,708,351 0.66% Monthly Average Balance $ 6,054,918,614 6,580,050,682 $ (525,132,068) -7.98% $ 6,035,299,764 $ 19,618,850 0.33% Year-To-Date Average Balance $ 6,226,390,631 $ 6,241,978,997 $ (15,588,365) -0.25% $ 5,868,491,101 $ 357,899,530 6.10% Monthly Accrued Earnings? $ 18,716,256 $ 20,265,091 $ (1,548,835) -7.64% $ 3,858,192 $ 14,858,064 385.10% Monthly Net Yield? 3.732% 3.566% 0.166% 4.66% 0.702% 3.030% 431.62% Year-To-Date Net Yield? 2.553% 2.451% 0.102% 4.15% 0.471% 2.082% 441.95% Annual Estimated Gross Yield° 2.500% 2.500% 0.000% 0.00% 0.523% 1.977% 378.01% Weighted Average Maturity (WAM)5 225 227 (2) -0.88% 282 (57) -20.21% Orange County Educational Investment Pool (OCEIP)
End Of Month Market Value!? $ 8,736,272,278 $ 8,419,878,599 $ 316,393,679 3.76% $ 6,590,844,528 $ 2,145,427,750 32.55% End Of Month Book Value!? $ 8,823,904,674 $ 8,509,930,545 $ 313,974,129 3.69% $ 6,697,653,627 2,126,251,047 31.75% Monthly Average Balance? $ 8,445,179,604 $ 8,536,437,282 $ (91,257,678) - 1.07% $ 6,469,471,054 $ 1,975,708,550 30.54% 8 Year-To-Date Average Balance $ 7,330,357,038 $ 7,229,009,532 $ 101,347,506 1.40% $ 5,665,497,320 $ 1,664,859,718 29.39% Monthly Accrued Earnings? $ 26,170,639 $ 26,369,095 $ (198,456) -0.75% $ 3,704,272 $ 22.466,367 606.50% Monthly Net Yield? 3.732% 3.566% 0.166% 4.66% 0.698% 3.034% 434.67% Year-To-Date Net Yield' 2.596% 2.477% 0.119% 4.79% 0.480% 2.116% 440.87% Annual Estimated Gross Yield" 2.500% 2.500% 0.000% 0.00% 0.531% 1.969% 370.81% Weighted Average Maturity (WAM)S 225 227 (2) -0.88% 287 (62) -21.60% 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 The OCEIP End of Month Market Value, End of Month Book Value, Monthly Average Balance and Year-To-Date Average Balance are higher than the prior year primarily due to funding for new District programs by federal and state governments. 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 FOMC 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 June 2022 are reported al the actual annual gross yields for FY 21- 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 (ОСТР) AND SPECIFIC INVESTMENT ACCOUNTS ( FOR THE MONTH, QUARTER, AND FISCAL YEAR ENDED: June 30, 2023 OCT INVESTMENT STATISTICS • By Reporting Entity
Average Day to Daily oldes t MONTHLY GROSS QUARTER GOSS Annual Gros Veto Current NAV
DESCRIPTION CURRENT BALANCES
MARKET Value $ 5,862,622,195 225 3.775% 3.732% 3.622% 2.592% 0.9901 COST (Capital S 5,879,505,411
Orange County Investment Pool (OCIP) MONTHLY AVG Balance S 6,054,918,614 QUARTERLY AVG Balance $ 6,687,862,132
ANNUAL AVG Balance $ 6,226,390,631
BOOK Value S 5,920,645,669
MARKET Value $ 8,736,272,278 225 3.775% 3.732% 3.622% 2.635% 0.9901 COST (Capital) $ 8,761,887,936
Orange County Educational Investment MONTHLY AVG Balance $ 8,445,179,604 Pool (OCEIP) QUARTERLY AVG Balance $ 8,395,030,450
ANNUAL AVG Balance $ 7,330,357,038
BOOK Value S 8,823,904,674
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 $ 558,623,589 PP-CEO 503,744,339 508,270,854 0.9911 Fountain Valley School District Fund 40 (FVSD) COST (Capital) $ 556,859,572 FVSD 32,762,230 34,066, 119 0.9617 CCCD Series 2017E Bonds (CCCD) MONTHLY AVG Balance s 556,853,621 CCCD 22,117,020 23,161,909 0.9549 QUARTERLY AVG Balance s 556,884,407
ANNUAL AVG Balance $ 304,849,958
BOOK Value $ 565,498,882
OCIF TOTALS
INVESTMENTS YEAR-TO-DATE EARNINGS
OCIP $ 5,879,505,411 OCIP 163,698,133
OCEIP 8,761,887,936 OCEIP 195, 158,055
Specific Investment 556,859,572
Cash 55,688,730
Total Assets in the County Treasury 5 15,253,941,649 Total OCT Year-To-Date Earnings $ 358,856,188
KEY POOL STATISTICS
INTEREST RATE YIELD WEIGHTED AVERAGE MATURITY (WAM)
OCIP - YTD NET YIELD 2.553% OCTP 225
OCEIP - YTD NET YIELD 2.596% LGIP (Standard & Poors) 30 9O-DAY T-BILL YIELD - MONTHLY AVERAGE 5.287%
(1) Reported in compliance with Government Code Section 53646 (b)(1), with 2023 IPS requiring at least quarterly reporting per Government Code Section 53646 (d). (2) The current OCT level NAVs for OCIP and OCEIP have both increased slightly to 0.9901. Short-term rates continue to rise, causing the market values on OCIP, OCEIP, FVSD, and CCCD to E3 specie mesmen Accounts pin anuay, o for la ponsor person payments autored by 0, V50, and CO have stent iquity to me projected cash how neds. 9 ORANGE COUNTY TREASURER - TAX COLLECTOR
OCTP INVESTMENT TYPE AND CREDIT QUALITY BY MARKET VALUE PERCENT June 30, 2023
Security Type Credit Quality
0.5% 0.5%
100% 100%
11.7%
90% 90%
80% 18.0% 80%
70% 70%
60% 1 00%
50% 50% 99.5%
40% Security Type in 40%
30% 30%
20% 20%
10% 10%
0% 0%
BU.S. GOVERNMENT AGENCIES IN U.S. TREASURIES 1
_MONEY MARKET MUTUAL FUNDS # LOCAL AGENCY INVESTMENT FUND • US Government ENR Orange County Treasurer's Pool
Investment yely are ale. Credity Quality by Market Value (%) In Thousands % InThousands %
LU. S. GOVERNMENT AGENCIES 10,179,332 69.72% US GOVERNMENT 14,526,165 99.50% EU. S. TREASURIES 2,634,663 18.05% INR 72.729 0.50%
MONEY MARKET MUTUAL FUNDS 1,712,170 11.73% 14.598.894 100.00% LOCAL AGENCY INVESTMENT FUND 72.729 0.50%
14.598.894 100.00%
22828
00--M -UC-UU - 182-04
0220657-00-04007-0
usbank.
CITY OF LAGUNA NIGUEL
ACCOUNT NUMBER: June 1, 2023 to June 30, 2023
MARKET VALUE SUMMARY
urrent Perio
6/01/23 to 06/30/5
Change: 412,454.01
Beginning Market Value $59,290,629.69 $70,000,000
Taxable Interest 130,245.26 $60,000,000
Cash Receipts 425,000.00 $50,000,000
Short Term Gains/Losses 16,398.12 $40,000,000
Change in Investment Value -159,189.37 $30,000,000
Ending Market Value $59,703,083.70 $20,000,000
$10,000,000
$0
Beginning Ending
MV MV
$59,290,629.69 $59,703,083.70
22828
00- -M -UC-UU -182-04
0220657-00-04007-04
usbank
CITY OF LAGUNA NIGUEL
ACCOUNT NUMBER: June 1, 2023 to June 30, 2023
ASSET SUMMARY
Current Period % of Estimated
Assets Market Value Total Annual Income
Cash & Equiv
10.20 303,009.10 $6,061,212.45
Cash & Equivalents 6,061,212.45
Taxable Bonds 53,641,871.25 89.80 1,089,600.00
Total Market Value $59,703,083.70 100.00 $1,392,609.10
53.641.871.2
12 22828
00- -M -UC-UU -182-04
0220657-00-04007-04
usbank
CITY OF LAGUNA NIGUEL
ACCOUNT NUMBER: June 1, 2023 to June 30, 2023
INCOME SUMMARY
Income Received
Current Period
Taxable Interest 130,245.26
Total Current Period Income $130,245.26
13 22828
00--M -UC-UU -182-04
0220657-00-04007-04
usbank
CITY OF LAGUNA NIGUEL
ACCOUNT NUMBER: June 1, 2023 to June 30, 2023
CASH SUMMARY
Cash
Beginning Cash 06/01/2023 $0.00
Taxable Interest 130,245.26
Cash Receipts 425,000.00
Purchases -4,110,180.00
Sales 4,000,000.00
Net Money Market Activity -445,065.26
Ending Cash 06/30/2023 $0.00
22828
O--M -UC-UU -182-1
220657-00-04007-0
usbank
CITY OF LAGUNA NIGUEL
ACCOUNT NUMBER: June 1, 2023 to June 30, 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
6,061,212.450 1.0000 6,061,212.45 6,061,212.45 0.00 10.2 303,009.10 5.00 Total Cash/Money Market $6,061,212.45 $6,061,212.45 $0.00 10.2 $303,009.10 Total Cash & Equivalents $6,061,212.45 $6,061,212.45 $0.00 10.2 $303,009.10 Taxable Bonds
US Government Issues
FHLMC - 3137EAEP0
1.500 02/12/2025
4,000,000.000 94.3970 3,775,880.00 4,188,112.71 -412,232.71 6.3 60,000.00 1.59 FHLMC MTN - 3134GV5R5
0.570 07/15/2024
1,000,000.000 95.0210 950,210.00 1,000,000.00 -49,790.00 1.6 5,700.00 0.60 FNMA - 3135G05X7
0.375 08/25/2025
8,700,000.000 90.9950 7,916,565.00 8,645,922.29 -729,357.29 13.3 32,625.00 0.41 Federal Farm Credit Bks - 3133ENVD9
2.875 04/26/2027
4,000,000.000 94.6160 3,784,640.00 3,995,360.00 -210,720.00 6.3 115,000.00 3.04 Federal Home Loan Bks - 3130AJTX7
0.720 07/21/2025
625,000.000 91.2690 570,431.25 625,000.00 -54,568.75 1.0 4,500.00 0.79 22828
- -M -UC-UU -182-
220657-00-04007-
190E
usbank
CITY OF LAGUNA NIGUEL
ACCOUNT NUMBER: • June 1, 2023 to June 30, 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 91.8530 918,530.00 1,000,000.00 -81,470.00 1.5 7,400.00 0.81 Federal Home Loan Bks - 3130AMFS6
0.750 06/12/2026
2,000,000.000 89.1750 1,783,500.00 2,001,415.36 -217,915.36 3.0 15,000.00 0.84 Federal Home Loan Bks - 3130A8XY4
1.875 09/11/2026
4,500,000.000 92.2870 4,152,915.00 4,665,690.00 -512,775.00 7.0 84,375.00 2.03 Federal Home Loan Bks - 3130ATBL(
3.625 12/08/202:
4,000,000.000 99.2600 3,970,400.00 3,991,360.00 -20,960.00 6.7 145,000.00 3.65 Federal Home Loan Bks - 3130AWC24
4.000 06/09/2028
2,000,000.000 99.3780 1,987,560.00 2,006,180.00 -18,620.00 3.3 80,000.00 4.02 U S Treasury Bond - 912810EV6
6.875 08/15/2025
2,000,000.000 104.1910 2,083,820.00 2,104,000.00 -20,180.00 3.5 137,500.00 6.60 U S Treasury Note - 912828S92
1.250 07/31/2023
3,500,000.000 99.6930 3,489,255.00 3,468,912.50 20,342.50 5.8 43,750.00 1.25 U S Treasury Note - 9128282D1
1.375 08/31/2023
2,500,000.000 99.3760 2,484,400.00 2,475,325.00 9,075.00 4.2 34,375.00 1.38 U S Treasury Note - 912828T26
1.375 09/30/2023
3,000,000.000 99.0510 2,971,530.00 2,954,430.00 17,100.00 5.0 41,250.00 1.39 U S Treasury Note - 912828T91
1.625 10/31/2023
2,500,000.000 98.8200 2,470,500.00 2,461,250.00 9,250.00 4.1 40,625.00 1.64 22828
00- -M -UC-UU -182-0-
0220657-00-04007-04
usbank
CITY OF LAGUNA NIGUEL
ACCOUNT NUMBER: June 1, 2023 to June 30, 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 - 912828U57
2.125 11/30/2023
2,500,000.000 98.6880 2,467,200.00 2,469,100.00 -1,900.00 4.1 53,125.00 2.15 US Treasury Note - 912828V23
2.250 12/31/2023
3,000,000.000 98.5120 2,955,360.00 2,953,290.00 2,070.00 5.0 67,500.00 2.28 U S Treasury Note - 9128286G0
2.375 02/29/2024
2,500,000.000 98.0270 2,450,675.00 2,459,075.00 -8,400.00 4.1 59,375.00 2.42 TS Treasury Note - 912828529
2.500 01/31/2024
2,500,000.000 98.3400 2,458,500.00 2,460,150.00 -1,650.00 4.1 62,500.00 2.54 Total US Government Issues $53,641,871.25 $55,924,572.86 -$2,282,701.61 89.8 $1,089,600.00 Total Taxable Bonds $53,641,871.25 $55,924,572.86 -$2,282,701.61 89.8 $1,089,600.00 Total Assets $59,703,083.70 $61,985,785.31 -$2,282,701.61 100.0 $1,392,609.10 Estimated Current Yield 2.33
ASSET DETAIL MESSAGES
Time of trade execution and trading party (if not disclosed) will be provided upon request. 22828
0- -M -UC-UU -182-0
220657-00-04007-0
usbank
CITY OF LAGUNA NIGUEL
ACCOUNT NUMBER: June 1, 2023 to June 30, 2023
ASSET DETAIL MESSAGES (continued)
stimated 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 estimate ay not represent the actual value earned by your investments and they provide no guarantee of what your investments may earn in the future 18 22828
00--M -UC-UU -182-04
0220657-00-04007-04
usbank
CITY OF LAGUNA NIGUEL
ACCOUNT NUMBER: June 1, 2023 to June 30, 2023
TRANSACTION DETAIL
Date
Posted Activity Description Cash Tax Cost
Beginning Balance 06/01/2023 $0.00 $61,414,141.93
06/01/23 Cash Receipt Cash Receipt 425,000.00
ecd From City Of Laguna Nigu
06/01/23 Asset Income Interest Earned On 23,373.10
irst Am Treas Ob Fd CI2
nterest From 5/1/23 To 5/31/2
06/08/23 Asset Income Interest Earned On 72,500.00
F H L B Deb 3.625% 12/08/23
0.018125 USD/$1 Pv On 4,000,000 Par Value Due 6/8/23
06/12/23 Asset Income Interest Earned On 7,500.00
F H L B Deb 0.750% 6/12/26
0.00375 USD/$1 Pv On 2,000,000 Par Value Due 6/12/23
06/22/23 Purchase Purchased 2,000,000 Par Value Of -2,104,000.00 2,104,000.00 U S Treasury Bd 6.875 08/15/2025
Purchased Through Cantor Fitzgerald & Co.
2,000,000 Par Value At 105.2 %
06/22/23 Purchase Accrued Interest Paid Accrued Interest On Purchase O -48,238.95 J S Treasury Bd 6.875 08/15/2025
Income Debit 48,238.95- USD
06/23/23 Purchase urchased 2,000,000 Par Value ( -2,006,180.00 2,006,180.00 HLB Deb 4.000% 6/09/2
Trade Date 6/21/23
urchased Through Cantor Fitzgerald & C
,000,000 Par Value At 100.309
06/23/23 Purchase Accrued Interest Paid Accrued Interest On Purchase Of -4,888.89 F HL B Deb 4.000% 6/09/28
Income Debit 4,888.89- USD
06/30/23 Sale atured 1,000,000 Par Value ( 1,000,000.00 -996,171.88 S Treasury Bd 1.375% 6/30/
Trade Date 6/30/23
1.000,000 Par Value At 100 %
22828
2022057-00407.04
usbank
CITY OF LAGUNA NIGUEL
ACCOUNT NUMBER: June 1, 2023 to June 30, 2023
TRANSACTION DETAIL (continued)
Date
Posted Activity Description Cash Tax Cost
06/30/23 Sale Matured 3,000,000 Par Value O 3,000,000.00 -2,987,430.00 J S Treasury Nt 2.625% 6/30/2
3,000 Par Value A 100 %
06/30/23 Asset Income 6,875.00
06/30/23 Asset Income 33,750.00
96/30/23 Asset income Interest Earned On 39,375.00
U S Treasury Nt 2.625% 6/30/23
0.013125 USD/$1 Pv On 3,000,000 Par Value Due 6/30/23
Purchase ombined Purchases For The Period 6/ 1/23 - 6/30/23 ( -4,608,373.10 4,608,373.10 rst Am Treas Ob Fd Cl
Sale 4,163,307.84 -4,163,307.84
Ending Balance 06/30/2023 $0.00 $61,985,785.31
22828
00- -M -UC-UU -182-04
0220657-00-04007-04
usbank
CITY OF LAGUNA NIGUEL
ACCOUNT NUMBER: June 1, 2023 to June 30, 2023
SALE/MATURITY SUMMARY
Settlement Estimated
Date Description Tax Cost Proceeds Gain/Loss
Taxable Bonds
U S Treasury Bond
1.375 06/30/2023
912828S35
06/30/23 Matured 1,000,000 -996,171.88 1,000,000.00 3,828.12 Prade Date 6/30/23
1,000,000 Par Value At 100 %
U S Treasury Note
13.625 06/30/2023
+9128284U1
06/30/23 Matured 3,000,000 -2,987,430.00 3,000,000.00 12,570.00 Par Value
Trade Date 6/30/23
3,000,000 Par Value At 100 %
Total Taxable Bonds -$3,983,601.88 $4,000,000.00 $16,398.12 Total Sales & Maturities -$3,983,601.88 $4,000,000.00 $16,398.12
SALE/MATURITY SUMMARY MESSAGES
Estimated Year-To-Date Short-Term Gain (Loss): $16,398.12 Estimates should not be used for tax purposes
22828
00- -M -UC-UU -182-04
0220657-00-04007-04
usbank
CITY OF LAGUNA NIGUEL
ACCOUNT NUMBER: June 1, 2023 to June 30, 2023
BOND SUMMARY
50% |
40%
30%
20%
10%
0% T
2023 2024 2025 2026 2027 2028
Percentage of
Par Value Market Value Category
MATURITY
2023 21,000,000.00 20,808,645.00 38.80
2024 6,000,000.00 5,859,385.00 10.93
2025 16,325,000.00 15,265,226.25 28.46
2026 6,500,000.00 5,936,415.00 11.06
2027 4,000,000.00 3,784,640.00 7.05
2028 2,000,000.00 1,987,560.00 3.70
Total of Category $55,825,000.00 $53,641,871.25 100.00
MOODY'S RATING
Aaa 54,825,000.00 52,691,661.25 98.23
N/A 1,000,000.00 950,210.00 1.77
Total of Category $55,825,000.00 $53,641,871.25 100.00
22828
)- -M -UC-UU -182-
20657-00-04007
usbank
CITY OF LAGUNA NIGUEL
ACCOUNT NUMBER: June 1, 2023 to June 30, 2023
BOND SUMMARY (continued)
Percentage of
Par Value Market Value Category
S&P RATING
AA+ 30,825,000.00 28,860,421.25 53.80
N/A 25,000,000.00 24,781,450.00 46.20
Total of Category $55,825,000.00 $53,641,871.25 100.00
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 6/1/2023 to 6/30/2023 Tamara Letourneau
City Manager
City of Laguna Niguel
30111 Crown Valley Parkway
Laguna Niguel, CA 92677
Account Summary
alance as o Balance as of
Source /1/202 Contributions Earnings Expenses Distributions Transfers 6/30/2023 PENSION $1,968,941.28 $0.00 $36,494.80 $963,80 $0,00 $0,00 S2,004,472.28 Totals S1,968,941.28 $0.00 $36,494.80 $963.80 S0.00 $0.00 $2,004,472.28 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 1.85% 1.77% 4.83% 1.91% 5/26/2020
Information as provided by US Bank, Trustee for PARS; Not FDIC Insured, No Bank Guarantee; May Lose Value 'ast 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 chang nvestment Retum: Annualized rate of return is the return on an investment over a period other than one year multiplied or divided to give a comparable one-year retur 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 24