CITY OF LAGUNA NIGUEL
CITY COUNCIL AGENDA ITEM
To: Honorable Mayor and Council Members
FROM: Tamara S. Letourneau, City Manager
DATE: March 5, 2024
SUBJECT: Investment Report as of January 31, 2024
RECOMMENDATION
Staff recommends that the City Council receive and file the City of Laguna Niguel Investment Report as of January 31, 2024.
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 expected, the Federal Open Market Committee (FOMC) elected to leave the Federal Funds rate unchanged at their January 2024 meeting. The FOMC did adjust some of its language to emphasize the improving balance of risks. They also dropped language that described its intent to keep interest rates in restrictive territory. The Fed's preferred inflation gauge, the core Personal Consumption Expenditures Price Index was at 2.9% in December 2023, down from its peak of 5.5% in 2022. Chair Powell indicated "almost everyone on the committee is in favor of moving [rates] down this year, but the timing of that will be linked to our gaining confidence that inflation is on a sustainable path However, since that meeting, the Consumer Price Index (CPI) for January was released and came in unexpectedly higher at 3.1% in January 2024. Prior to the turn of the year, bond traders had previously been hoping for up to seven rate cuts in 2024. Those expectations have softened over the last two months. After the January inflation numbers and cautious optimism from the Fed regarding economic strength, the market is now expecting between three and five rate cuts in 2024. Many investors have targeted June
2024 as the base case for the first rate cut in 2024. The chart below shows the market expectations for rate cuts and the latest guidance provided by the Federal Reserve. All indications still point to a lower Fed Funds rate at the end of 2024.
Market pricing of the expected path of the federal funds rate
5.5 -1/31/2024
85.0 — 12/31/2023
€ 4.5
• Fed guidance 12/13/23
· 4.0
3.5 Expected fed
3.0 2.5
Jan-24 Jan-25 Jan-26 Jan-27 Jan-28 Jan-29
Sources: U 5. Bank Asset Management Group Research. Bloomborg: 12/13/2023-1/31/2024 The City's strategy to focus on higher-yielding long-term securities has been extremely successful. Since March, the newly purchased securities total $40.6 million, or approximately 61% of the City's total portfolio. On average, those new investments produce an average yield of 4.57%! Excluding money market funds, the average purchase yield is 4.35% with an average weighted maturity of 1,114 days! That means the City has locked in $28.1 million, earning 4.35% over the next 3 years! That 4.35% is outperforming the LAIF yield and the net OCIP yield (net of administrative costs). It is also significantly outperforming the 5-year Treasury rate, which was 3.910% at the end of January. These data points demonstrate that the City successfully took advantage of the short window to lock in the high Treasury yields. The City will have more opportunities to lock in these rates over the coming months as the County will send approximately $9 million in property taxes prior to the June FOMC meeting.
Investment Type Cost Avg. Yield % Portfolio
US Bank Money Market 12,510,586 5.07% 18.7%
Certificates of Deposit 3,999,750 4.63% 6.0%
Federal Farm Credit Banks 5,517,380 4.42% 8.2%
Federal Home Loan Banks 3,010,190 4.42% 4.5%
US Treasury Note 15,542,875 4.38% 23.2%
New investments total 40,580,781 4.57% 60.7%
Total Portfolio 66,880,342 3.17%
Additionally, as can be seen below, the investments are fairly spread out over the maturity curve to allow for sufficient cash flow and to maximize returns on invested funds.
BOND SUMMARY
50%
40%
30%
20%
10%
0% 2025 2028 2029
2024 2026 2027
Par Value Market Value
MATURITY
2024 7,500,000.00 7 401.855.00 14.04
2025 18,825,000.00 18,190,559.75 34.49
2026 7,500,000.00 7.115,695.00 13.50
7,000,000.00 6,914,890.00 13.10
2027
2028 10,500,000.00 10,380.550.00 19.67
2029 2,750,000.00 2,743,565.00 5.20
The following table compares the portfolio balance as of January 2024 to December 2023.
Portfolio Balance December 2023 January 2024 Difference Balance $63,439,817 $66,880,342 $3,440,525
• Over the past month, the City's total cash and investments experienced a net increase of $3,440,525. The City received an additional $4.6 million allotment of property taxes from the County during the month, resulting in the increase noted.
The percentage of pooled investments decreased to 0.27%. Pooled investments include the Local Agency Investment Fund (LAIF) and the Orange County Investment Pool (OCIP).
• The average weighted maturity of City investments, including investment pools and money market, increased to 744 days. This increase is expected as part of the City's plan of purchasing longer-term securities to lock in these higher rates for longer. 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 3.929% to 4.012%. The net yield of OCIP decreased from 4.428% to 4.367%. The net yield for the First American money market funds in the City's custodian account decreased to 5.200%. This is the first month yields have decreased for either OCIP or the money market funds since the FOMC began increasing rates in March 2022. As the FOMC has not changed rates since July 2023, the Feds Fund rate has been relatively flat, however, the PMIA/LAIF rate is still increasing as the state is able to purchase
however, the PMIA/LAIF rate is still increasing as the state is able to purchase and reinvest maturing investments at current levels. Staff does expect the pooled yields to continue to increase in the short term as those funds turnover lower earning investments. However, the money market funds will react quickly in the event of a reduction in the Fed Funds rate.
Average Monthly Yield Comparison - 01/2019 through 01/2024
6.00%
5.00% → PMIA
4.00% - S&P GIP
3.00% ---•Fed Funds
2.00%
1.00%
0.00% 4.012%
10/2020 Fed Funds 3.580%
• The average weighted yield of City investments, including investment pools and money market, increased from 3.064% to 3.173%. 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
3.173% 3.910% 4.730% 5. 180% 4.367% 4.012%
The monthly Investment Report as of January 31, 2024, is attached.
ALTERNATIVES CONSIDERED
1. The City Council can choose not to receive and file the City of Laguna Niguel Investment Report as of January 31, 2024.
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.
Samasa Setouseau
Tamara S. Letourneau Trevor Agrelius
City Manager Finance Director
Attachments:
A. Monthly Investment Report as of January 31, 2024
ATTACHMENT A
Investment Report as of January 31, 2024
CITY OF LAGUNA NIGUEL
INVESTMENT REPORT
as of
January 31, 2024
Tamara S. Letourneau
CITY MANAGER
Trevor Agrelius
FINANCE DIRECTOR
March 5, 2024
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 6-9
US Bank Statement 10-25
PARS Statement 26
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 January 31, 2024, the City was in compliance with the Investment Policy adopted at the August 1, 2023, 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.
Semara Setonsacau
Tamara S. Letourneau Trevor Agrelius
City Manager Finance Director
City of Laguna Niguel
Summary of Cash and Investments
01/31/2024
Settlement Maturity Coupon Purchased Percent of Max Allowed Per Market Description Date Date Rate Yield Cost Portfolio Investment Policy Value Petty Cash/Change Drawers $ 2,500.00 0.00% N/A 2,500.00 US Bank Checking & Investment Accounts 4.940% 6,503,960.92 9.72% N/A 6,503,960.92 US Bank Money Market 5.200% 6,004,125.27 8.98% 10.00% 6,004,125.27 Local Agency Investment Fund 4.012% 100,899.35 0.15% >$40 million or 55% 99,368.56 Orange County Investment Pool 4.367% 77,161.42 0.12% >$40 million or 55% 77,161.42 US Treasury Note: 23.24% N/A
9128286G0 5/16/2023 2/29/2024 2.375% 4.501% 2,459,075.00 2,494,200.00 912828YH7 12/22/2023 9/30/2024 1.500% 4.779% 1,463,062.50 1,466,310.00 91282CFX4 11/10/2023 11/30/2024 4.500% 5.206% 992,812.50 996,680.00 9128283P3 12/22/2023 12/31/2024 2.250% 4.635% 1,464,600.00 1,465,965.00 912810EV6 6/22/2023 8/15/2025 6.875% 4.311% 2,104,000.00 2,077,260.00 91282CJK8 11/30/2023 11/15/2026 4.625% 4.310% 1,008,640.00 1,015,310.00 9128284V9 12/22/2023 8/15/2028 2.875% 3.791% 1,441,875.00 1,436,775.00 91282CJA0 11/10/2023 9/30/2028 4.625% 4.500% 1,005,380.00 1,030,860.00 91282CDL2 12/22/2023 11/30/2028 1.500% 3.780% 1,571,710.00 1,567,405.00 91282CIN2 12/8/2023 11/30/2028 4,375% 4.020% 2,031,720.00 2,043,900.00 Certificates of Deposit: 5.98%
949764GT5 10/24/2023 4/24/2025 5.500% 5.500% 250,000.00 252,195.00 83407DBPO 10/30/2023 4/30/2025 5.450% 5.450% 250,000.00 251,975.00 15140RCY3 7/25/2023 7/26/2027 4.700% 4.700% 250,000.00 254,685.00 8562834C7 7/31/2023 8/2/2027 4.600% 4.600% 250,000.00 253,972.50 15118RM38 12/8/2023 12/8/2027 4.600% 4,600% 250,000.00 254,545.00 33610RVD2 12/12/2023 12/10/2027 4.550% 4,550% 250,000.00 254,087.50 05580AY24 7/18/2023 4/14/2028 4.400% 4.408% 249,875.00 253,155.00 2546733V6 7/18/2023 4/17/2028 4.400% 4.408% 249,875.00 253,245.00 20033A4J2 7/26/2023 7/26/2028 4.450% 4,450% 250,000.00 254,187.50 062119CD2 7/28/2023 7/28/2028 4.500% 4.500% 250,000.00 254,707.50 02589AF64 11/1/2023 11/1/2028 5.000% 5.000% 250,000.00 260,437.50 87165E3V7 11/3/2023 11/3/2028 5.000% 5.000% 250,000.00 260,452.50 795451DH3 12/13/2023 12/13/2028 4.400% 4.400% 250,000.00 254,177.50 58404DTX9 12/22/2023 12/22/2028 4.300% 4.300% 250,000.00 253,212.50 32110YK46 12/28/2023 12/28/2028 4.300% 4.300% 250,000.00 253,235.00 848608FB6 1/31/2024 1/31/2029 3.950% 3.950% 250,000.00 249,440.00 Federal Home Loan Mortgage Corporation: 7.76% 25.00%
3134GV5R5 7/15/2020 7/15/2024 0.570% 0.570% 1,000,000.00 978,700.00 3137EAEPO 1/29/2021 2/12/2025 1.500% 0.337% 4,188,112.71 3,873,280.00 Federal National Mortgage Association: 12.93% 25.00%
3135G05X7 1/29/2021 8/25/2025 0.375% 0.519% 8,645,922.29 8,176,521.00 Federal Farm Credit Banks: 14.22% 25.00%
3133EPYW9 10/20/2023 10/20/2025 5.125% 5,178% 999,000.00 1,011,800.00 3133ENVD9 4/26/2022 4/26/2027 2.875% 2,900% 3,995,360.00 3,860,000.00 3133EPH81 12/8/2023 10/4/2027 4.500% 4.150% 2,024,580.00 2,037,600.00 3133EPW84 1/30/2024 1/18/2029 3.875% 3.930% 2,493,800.00 2,494,125.00 Federal Home Loan Banks: 16.90% 25.00%
3130AJTF6 7/14/2020 7/14/2025 0.740% 0.740% 1,000,000.00 945,890.00 3130AJTX7 7/21/2020 7/21/2025 0.720% 0.720% 625,000.00 592,468.75 3130AMFS6 8/12/2021 6/12/2026 0.750% 0.735% 2,001,415.36 1,847,480.00 3130AWLY4 7/25/2023 6/13/2025 5.125% 4.900% 1,004,010.00 1,009,170.00 3130A8XY4 10/18/2021 9/11/2026 1.875% 1.100% 4,665,690.00 4,252,905.00 3130AWC24 6/23/2023 6/9/2028 4.000% 3.930% 2,006,180.00 2,004,800.00
51.81% 60.00%
$ 66,880,342.32 100.00% 3 65,434,230.92
Restricted for Specific Use
PARS 115 Pension Trust $ 2,000,000.00 20.00% $ 2,104,655.61 Average weighted maturity of Investments, excluding Investment F 918 days Average weighted maturity of investments, including Investment P 744 days Average weighted yield of Investments, excluding Investment Pool: 2.733% Average weighted yield of Investments, including Investment Pools 3.173% * Market value of City investments is provided by US Bank NOTE: Market value disclosure is for informational purposes only. City policy is to hold all investments to maturity; therefore, any unrealized gain or loss reflected between the cost and market value of an investment will not be realized. 2 LANCT WHENE
PMIA/LAIF Performance Report
as of 2/14/24
Quarterly Performance PMIA Average Monthly
Quarter Ended 12/31/23 Effective Yields)
LAIF Apportionment Rate: 4.00 January 4.012
LAIF Earnings Ratio(2). 0.00010932476863589 December 3.929 LAIF Administrative Cost: 0.29 November 3.843
LAIF Fair Value Factor 2). 0.993543131 October 3.670
PMIA Daily (2). 3.96 September 3.534
PMIA Quarter to Date: 3.81 August 3.434
PMIA Average Life(): 230
Pooled Money Investment Account
Monthly Portfolio Composition (1)
1/31/24
$165.8 billion
Corporate
Commercial Bonds
Paper 0.37%
Time
5.91%. Loans
Deposits 0.20%
3.13%
Certificates of
Deposit/Bank Notes
8.98%
Treasuries
58.88%
Agencies.
22.53%
Chart does not include $2,112,000.00 in mortgages, which equates to 0,001%. 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 that 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 of 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:
(2) State of California, Office of the Treasurer
(2) State of Calfiornia, Office of the Controller
State of California
PMIA Pooled Money Investment Account
Market Valuation
1/31/2024
Carrying Cost Plus
Description Accrued Interest Purch. Fair Value Accrued Interest United States Treasury:
Bills $ 29,367.637,177.93 29,746,267,500.00 NA
Notes $ 68,276,645,745.76 67,500,136,000.00 $ 415.432,964.50 Federal Agency:
SBA $ 270,714,210.78 $ 270,529,128.36 $ 1.311,522.42
MBS-REMICS 2,112,857.95 2,081,896.18 $ 9,257.45
Debentures 8,483.252,104.13 $ 8.416.872.600.00 I$ 75,957,014.20 Debentures FR $ $
638,906,500.00 4.456.111.50
Debentures CL 650,000,000.00 $ $
Discount Notes 25,131,550,958.30 $ 25,469,401,000.00 NA Supranational Debentures 2.819,512,700.14 2.788,653,300.00 22.478.612.60 Supranational Debentures FR $ - $
CDs and YCDs FR $ $ - $ -
Bank Notes
CDs and YCDs $ 14.900.000.000.00 14,906.763,784.05 205,689,986.08 Commercial Paper $ 9.797,910,569.35 $ 9,924.275,555.56 NA Corporate:
Bonds FR $
Bonds 621.664.002.54 607,310,760.00 $ 4.602,340.63
Repurchase Agreements $
: $
Reverse Repurchase $ $
Time Deposits 5,188,000,000.00 $ 5,188,000,000.00 NA
PMIA & GF Loans 325,717,000.00 $ 325,717,000.00 NA
TOTAL $ 165.834.717,326.88 $ 165,784,915,024.15 $ 729,937,809.38 Fair Value Including Accrued Interest $ 166,514,852,833.53 Repurchase Agreements, Time Deposits, PMIA & General Fund loans, and Reverse Repurchase agreements are carried at portfolio book value (carrying cost). 4 2/26/24, 3:27 PM LAIF Regular Monthly Statement
California State Treasurer
Fiona Ma, CPA
Local Agency Investment Fund February 26, 2024
P.O. Box 942809
LAIF Home
Sacramento, CA 94209-0001
(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: 98-30-408
January 2024 Statement
Web
Effective Transaction Tran Confirm Confirm
Date Date Type Number Number Authorized Caller Amount
1/12/2024 1/11/2024 ORD 1746796 N/A SYSTEM 1,013.53
Account Summary.
Total Deposit: 1,013.53 Beginning Balance: 100,899.35
Total Withdrawal: 0.00 Ending Balance: 101,912.88
5 1/1
https://laifms.treasurer.ca.gov/RegularStatement.aspx
COUNTY OF ORANGE
OFFICE OF THE TREASURER-TAX COLLECTOR CHANG COUNT
Shari L. Freidenrich, CPA, CCT, CPFA, ACPFIM
P. O. BOX 4515
CALIFORN SANTA ANA, CA 92702-4515
octreasurer.com/publicfunds
January 31, 2024
CITY OF LAGUNA NIGUEL
Fund Number: 9LQ
JANUARY 2024 STATEMENT
Transactions
Transaction Transaction Description Authorized Signer Amount Date
01/01/2024 December 2023 Investment Admin Fee (3.27)
01/01/2024 FY 2022/2023 Investment Admin Fee Refund 203.07 01/17/2024 October 2023 Interest Paid 268.37
01/26/2024 FY 2022/2023 Interest on Refund 10.20
Summary
Total Deposit: $ 481.64 Beginning Balance: $ 76,683.05
Total Withdrawal: $ (3.27) Ending Balance: $ 77,161.42
6 ORANGE COUNTY TREASURER-TAX COLLECTOR
ORANGE COUNTY INVESTMENT FUND (OCIF)
ORANGE COUNTY TREASURER'S POOL (OCTP), SPECIFIC INVESTMENT AND BOND PROCEEDS ACCOUNTS ") FOR THE MONTH ENDED: JANUARY 31, 2024
OCT INVESTMENT STATISTICS"
DESCRIPTION CURRENT BALANCES Duration Daily Yield as MONTHLY Current NAV of 01/31/2024 Gross Yield
MARKET Value $ 15,596,096,011
Orange County Treasurer's Pool (OCT) COST (Capital) $ 15,486,223,662 0.87 4.367% 4.326% 1.0030 MONTHLY AVG Balance $ 15,602,261,987
BOOK Value S 15.548,893,782
SPECIFIC INVESTMENT ACCOUNTS STATISTICS ®*
DESCRIPTION CURRENT BALANCE Fund MONTHLY Market Value Book Value Current NAV Gross Yielc
Pension Prepayment-CEO (PP-CEO) MARKET Value S 562,708,275 PP-CEO 4.597% $ 519,587,519 521,004,472 0.9973 Fountain Valley School District Fund 40 (FVSD) COST (Capital) $ 532,662,559 FVSD 2.464% 33,120,756 33,915,289 0.9766 MONTHLY AVG Balance S 532,662,559
BOOK Value $ 654,919,762
BOND PROCEEDS ACCOUNT STATISTICS ®)
DESCRIPTION CURRENT BALANCE Fund MONTHLY Market Value Book Value Current NAV Gross Yield
CCCD Series 2017E Bonds (CCCD) MARKET Value $ 22,587,109 CCCD 3.167% $ 22,587,109 23,681,290 0.9538 COST (Capital) $ 24,575,519
MONTHLY AVG Balance S 24,525,601
BOOK Value s 23,681,290
OCIF TOTALS
INVESTMENTS & CASH YEAR-TO-DATE EARNINGS
OCTP $ 15,486,223,662 OCTP 355,406,151
OCIP 152,937,673
OCEIP 202,468,478
Specific Investment Accounts 532,662,559 Specific Investment Accounts 14,002,600 Bond Proceeds Account 24,575,519 Bond Proceeds Account 460,869 Cash 24,759,158
Total Assets in the County Treasury 16,068.220,898| Total OCIF Year-To-Date Earnings 369,869,620
KEY POOL STATISTICS
INTEREST RATE YIELD WEIGHTED AVERAGE MATURITY (WAM)
OCTP - YTD NET YIELD 4.093% OCTP 333
S0-DAY T-BILL YIELD - YTD AVERAGE 5.415% LGIP (Standard & Poors) 42 (1) Reported in compliance with Government Code Section 53646(b)(1), with 2024 IPS requiring at least quarterly reporting per Govemment Code Section 53646 (d). (2) Due to the longer term nature of PP-CEO, FVSD, and CCCD, they continue to stay below book values. The PP-CEO, FVSD, and CCCD have sufficient liquidity to meet projected cash flow needs. 5 ORANGE COUNTY TREASURER-TAX COLLECTOR
SUMMARY OF INVESTMENT DATA
INVESTMENT TRENDS
INCREASE NET CHANGE INCREASE
JANUARY 2024 DECEMBER 2023 JANUARY 2023 NET CHANGE %
(DECREASE) (DECREASE)
Orange County Investment Pool (OCIP)
End Of Month Market Value!? $ 6,623,351,122 $ 7,231,597,126 $ (608,246,004) -8.41% $5,961,992,475 $ 661,358,647 11.09% End Of Month Book Value! $ 6,603,305,276 7,216,162,668 $ (612,857,392) -8.49% $6,046,419,256 556,886,020 9.21% Monthly Average Balance? $ 6,550,441,916 $ 7,685,098,182 (1,134,656,266) -14.76% $6,480,334,588 $ 70,107,328 1.08% Year-To-Date Average Balance 6,225,322,428 $ 6,171,135,846 $ 54,186,582 0.88% $6,059,350,771 $ 165,971,657 2.74% Monthly Accrued Earnings? $ 24,168,148 $ 28,719,098 $ (4,550,950) -15.85% $16,133,489 $ 8,034,659 49.80% Orange County Educational Investment Pool (OCEIP)
End Of Month Market Value!,? $ 8,972,744,888 $ 9,227,248,772 $ (254,503,884) -2.76% $7,935,708,761 $ 1,037,036,127 13.07% End Of Month Book Value!? $ 8,945,588,505 9,207,554,977 $ (261,966,472) -2.85% $8,049,052,605 $ 896,535,900 11.14% Monthly Average Balance? $ 9,051,820,071 $ 8,268,688,128 $ 783,131,943 9.47% S8,142,349,426 $ 909,470,645 11.17% Year-To-Date Average Balance? 8,204,861,656 $ 8,063,701,920 $ 141,159,736 1.75% $6,747,292,465 1,457,569,191 21.60% Monthly Accrued Earnings? $ 33,695,942 $ 31,273,899 $ 2,422,043 7.74% $20,323,703 $ 13,372,239 65.80% Orange County Treasurer's Pool (OCTP)
Monthly Net Yield 4.276% 4.348% -0.072% -1,66% 2,887% 1.389% 48.11% Year-To-Date Net Yield 4.093% 4.059% 0.034% 0.83% 1.893% 2.200% 116.25% Annual Estimated Gross Yield* 4.050% 4.050% 0.000% 0.00% 2.615% 1.435% 54.86% Weighted Average Maturity (WAM)S 333 290 43 14.74% 202 131 64.72% Market values provided by Bloomberg and Northern Trus
The OCIP Monthly Average Balance is lower than the prior month due to apportionment of December's property tax receipts. The OCIP and OCEIP End of Month Market Values and the OCEIP End of Month Book Value, Monthly Average Balance and Year-To- Date Averag Balance are higher than the prior year primarily due to an increase in property assessed values of 6.41% in FY 23-24.
The OCIP Monthiy Accrued Earnings is lower than the prior month due to lower balances. The OCIP and OCEIP Monthly Accrued Earnings, OCT Monthly Net Yield and Year-To-Date Net Yield are higher than prior year due to higher interest rates with the FOMC raising sho rm rates by 3.75% since July 1, 2022, and reinvestment yields that are higher than the current portfolio yield and the maturing securities, respective 4 The OCT Annual Estimated Gross Yield is higher than the prior year due to continued higher yields from short-term rate increases. The OCT Annual Estimated Gross Yield for January 2023 is reported at the actual annual gross yields for FY 22-23 5 The OCT WAM is higher than the prior year due to longer term purchases. The financial market is not pricing a change in rates at the next FOM meeting on March 20, 2024 8 ORANGE COUNTY TREASURER - TAX COLLECTOR
OCT INVESTMENT TYPE AND CREDIT QUALITY BY MARKET VALUE PERCENT January 31, 2024
Investment Type Credit Quality
0.01% 0.01%
100% 100%
6.10%
90% 90%
80% 22.45% 80%
70% 70%
60% 60%
50% 50% 99.99%
40% 40%
71,44%
30% 30%
20% 20%
10% 10%
0%
In Thousands InThousands %
U.S. GOVERNMENT AGENCIES $ 11,143,205 71.44% •US GOVERNMENT $ 15,594,734 99.99% U.S. TREASURIES 3,500,678 22.45% NR 1,362 0.01%
MONEY MARKET MUTUAL FUNDS 950,851 6.10% 15.596.096 100.00% LOCAL AGENCY INVESTMENT FUND 1,362 0.01%
15.596.096 100.00%
9 11
19568
00--M -UC-UU -032-04
0220657-00-04007-04
usbank
CITY OF LAGUNA NIGUEL Page 1 of 16
ACCOUNT NUMBER: 6736304200 January 1, 2024 to January 31, 2024
MARKET VALUE SUMMARY
Current Period
01/01/24 to 01/31/24
Change: 1,277,698.18
Beginning Market Value $57,473,541.84 $70,000,000
Taxable Interest 122,221.18 $60,000,000
Cash Receipts 1,000,000.00 $50,000,000
Short Term Gains/Losses 86,560.00 $40,000,000
Change in Investment Value 68,917.00 $30,000,000
Ending Market Value $58,751,240.02 $20,000,000
$10,000,000
SO
Beginning Ending
MV MV
$57,473,541.84 $58,751,240.02
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CITY OF LAGUNA NIGUEL Page 2 of 16
ACCOUNT NUMBER: 6736304200 January 1, 2024 to January 31, 2024
ASSET SUMMARY
Current Period Totall Estimated
Assets Market Value Annual Income
Cash & Equiv
$6,004,125.27
Cash & Equivalents 6,004,125.27 10.20 312,366.30
Taxable Bonds 52,747,114.75 89.80 1,426,725.00
Total Market Value $58,751,240.02 100.00 $1,739,091.30
Taxable Bonds
$52,747,114.75
Fixed Income Summary
Corporate Issues
$4,067,710.00
US Government Issues
$48,679,404.75
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CITY OF LAGUNA NIGUEL Page 3 of 16
ACCOUNT NUMBER: 6736304200 January 1, 2024 to January 31, 2024
INCOME SUMMARY
Income Received
Current Period
Taxable Interest 122,221.18
Total Current Period Income $122,221.18
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CITY OF LAGUNA NIGUEL Page 4 of 16
ACCOUNT NUMBER: 6736304200 January 1, 2024 to January 31, 2024
CASH SUMMARY
Cash
Beginning Cash 01/01/2024 $0.00
Taxable Interest 122,221.18
Cash Receipts 1,000,000.00
Purchases -2,743,800.00
Sales 5,500,000.00
Net Money Market Activity -3,878,421.18
Ending Cash 01/31/2024 $0.00
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CITY OF LAGUNA NIGUEL Page 5 of 16
ACCOUNT NUMBER: 6736304200 January 1, 2024 to January 31, 2024
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
6,004,125.270 1.0000 6,004,125.27 6,004,125.27 0.00 10.2 312,366.30 5.20 Total Cash/Money Market $6,004,125.27 $6,004,125.27 $0.00 10.2 $312,366.30 Total Cash & Equivalents $6,004,125.27 $6,004,125.27 $0.00 10.2 $312,366.30 Taxable Bonds
US Government Issues
FHLMC - 3137EAEPO
1.500 02/12/2025
4,000,000.000 96.8320 3,873,280.00 4,188,112.71 -314,832.71 6.6 60,000.00 1.55 FHLMC MTN - 3134GV5R5
0.570 07/15/2024
1,000,000.000 97.8700 978,700.00 1,000,000.00 -21,300.00 1.7 5,700.00 0.58 FNMA - 3135G05X7
0.375 08/25/2025
8,700,000.000 93.9830 8,176,521.00 8,645,922.29 -469,401.29 13.9 32,625.00 0.40 Federal Farm Credit Bks - 3133ENVD9
2.875 04/26/2027
4,000,000.000 96.5000 3,860,000.00 3,995,360.00 -135,360.00 6.6 115,000.00 2.98 Federal Farm Credit Bks - 3133EPW84
3.875 01/18/2029
2,500,000.000 99.7650 2,494,125.00 2,493,800.00 325.00 4.2 96,875.00 3.88 19568
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CITY OF LAGUNA NIGUEL Page 6 of 16
ACCOUNT NUMBER: 6736304200 January 1, 2024 to January 31, 2024 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 Farm Credit Bks - 3133EPH81
4.500 10/04/2027
2,000,000.000 101.8800 2,037,600.00 2,024,580.00 13,020.00 3.5 90,000.00 4.42 Federal Farm Credit Bks - 3133EPYW9
5.125 10/20/2025
1,000,000.000 101.1800 1,011,800.00 999,000.00 12,800.00 1.7 51,250.00 5.06 Federal Home Loan Bks - 3130AJTX7
0.720 07/21/2025
625,000.000 94.7950 592,468.75 625,000.00 -32,531.25 1.0 4,500.00 0.76 Federal Home Loan Bks - 3130AJTF6
0.740 07/14/2025
1,000,000.000 94.5890 945,890.00 1,000,000.00 -54,110.00 1.6 7,400.00 0.78 Federal Home Loan Bks - 3130AMFS6
0.750 06/12/2026
2,000,000.000 92.3740 1,847,480.00 2,001,415.36 -153,935.36 3.1 15,000.00 0.81 Federal Home Loan Bks - 3130A8XY4
1.875 09/11/2026
4,500,000.000 94.5090 4,252,905.00 4,665,690.00 -412,785.00 7.2 84,375.00 1.98 Federal Home Loan Bks - 3130AWC24
4.000 06/09/2028
2,000,000.000 100.2400 2,004,800.00 2,006,180.00 -1,380.00 3.4 80,000.00 3.99 Federal Home Loan Bks - 3130AWLY4
5.125 06/13/2025
1,000,000.000 100.9170 1,009,170.00 1,004,010.00 5,160.00 1.7 51,250.00 5.08 U S Treasury Bond - 912810EV6
6.875 08/15/2025
2,000,000.000 103.8630 2,077,260.00 2,104,000.00 -26,740.00 3.5 137,500.00 6.62 U S Treasury Note - 912828YH7
1.500 09/30/2024
1,500,000.000 97.7540 1,466,310.00 1,463,062.50 3,247.50 2.5 22,500.00 1.53 15 19568
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CITY OF LAGUNA NIGUEL Page 7 of 16
ACCOUNT NUMBER: 6736304200 January 1, 2024 to January 31, 2024 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 - 91282CDL2
1.500 11/30/2028
1,750,000.000 89.5660 1,567,405.00 1,571,710.00 -4,305.00 2.7 26,250.00 1.67 U S Treasury Note - 9128283P3
2.250 12/31/2024
1,500,000.000 97,7310 1,465,965.00 1,464,600.00 1,365.00 2.5 33,750.00 2.30 US Treasury Note - 9128286GO
2.375 02/29/2024
2,500,000.000 99.7680 2,494,200.00 2,459,075.00 35,125.00 4.2 59,375.00 2.38 U S Treasury Note - 9128284V9
2.875 08/15/2028
1,500,000.000 95.7850 1,436,775.00 1,441,875.00 -5,100.00 2.4 43,125.00 3.00 U S Treasury Note - 91282CJN2
4.375 11/30/2028
2,000,000.000 102.1950 2,043,900.00 2,031,720.00 12,180.00 3.5 87,500.00 4.28 U S Treasury Note - 91282CFX4
4.500 11/30/2024
1,000,000.000 99.6680 996,680.00 992,812.50 3,867.50 1.7 45,000.00 4.51 U S Treasury Note - 91282CJA0
4.625 09/30/2028
1,000,000.000 103.0860 1,030,860.00 1,005,380.00 25,480.00 1.8 46,250.00 4.49 U S Treasury Note - 91282CJK8
4.625 11/15/2026
1,000,000.000 101.5310 1,015,310.00 1,008,640.00 6,670.00 1.7 46,250.00 4.55 Total US Government Issues $48,679,404.75 $50,191,945.36 -$1,512,540.61 82.9 $1,241,475.00 Corporate Issues
Cmerican Express Nat BK - 02589AF64
5.000 11/01/2028
260,437.50 16 0.4 12,500.00 4.80
250,000.000 104.1750 250,000.00 10,437.50
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ACCOUNT NUMBER: 6736304200 January 1, 2024 to January 31, 2024 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 Cank Five Nine Oconomowoc Wis - 062119CD2
4.500 07/28/2028
250,000.000 101.8830 254,707.50 250,000.00 4,707.50 0.4 11,250.00 4.42 CrY BK North Amer Sall Lake City - 05580AY24
4.400 04/14/2028
250,000.000 101.2620 253,155.00 249,875.00 3,280.00 0.4 11,000.00 4.34 Celtic Bk Salt Lake City Utah - 15118RM38
CD
4.600 12/08/2027
250,000.000 101.8180 254,545.00 250,000.00 4.545.00 0.4 11,500.00 4.52 Centier Bk Whitting Ind - 15140RCY3
4.700 07/26/2027
250,000.000 101.8740 254,685.00 250,000.00 4,685.00 0.4 11,750.00 4.61 Comenity Cap Bk Draper - 20033A4J2
4.450 07/26/2028
250,000.000 101.6750 254,187.50 250,000.00 4,187.50 0.4 11,125.00 4.38 Discover Bk Greenwood Del - 2546733V6
4.400 04/17/2028
250,000.000 101.2980 253,245.00 249,875.00 3,370.00 0.4 11,000.00 4.34 First Natl Bk Amer East Lans - 32110YK46
CD
4.300 12/28/2028
250,000.000 101.2940 253,235.00 250,000.00 3,235.00 0.4 10,750.00 4.24 First Premier Bk Sioux Falls - 33610RVD2
4.550 1210/2027
250,000.000 101.6350 254,087.50 250,000.00 4,087.50 0.4 11,375.00 4.48 17 19568
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ACCOUNT NUMBER: 6736304200 January 1, 2024 to January 31, 2024 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 Medallion Bk Utah - 58404DTX9
4.300 122212028
250,000.000 101.2850 253,212.50 250,000.00 3,212.50 0.4 10,750.00 4.24 SaDie Mae Bk Salt Lake City - 795451DH3
4.400 12/13/2028
250,000.000 101.6710 254,177.50 250,000.00 4,177.50 0.4 11,000.00 4.33 Sofi Bk Natl Assn Cottonwood H - 83407DBPO
5.450 04/30/2025
250,000.000 100.7900 251,975.00 250,000.00 1,975.00 0.4 13,625.00 5.41 Spritbank Tulsa Okla - 848608FB6
3.950 01/31/2029
250,000.000 99.7760 249,440.00 250,000.00 -560.00 0.4 9,875.00 3.96 State Bk India Chicago III - 8562834C7
4.600 08/02/2027
250,000.000 101.5890 253,972.50 250,000.00 3,972.50 0.4 11,500.00 4.53 Synchrony Bank CD - 87165E3V7
5.000 11/03/2028
250,000.000 104.1810 260,452.50 250,000.00 10,452.50 0.4 12,500.00 4.80 18 19568
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CITY OF LAGUNA NIGUEL Page 10 of 16
ACCOUNT NUMBER: 6736304200 January 1, 2024 to January 31, 2024 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 Wells Fargo Bank Natl Assn - 949764GT5
5.500 04/24/2025
250,000.000 100.8780 252,195.00 250,000.00 2,195.00 0.4 13,750.00 5.45 Total Corporate Issues $4,067,710.00 $3,999,750.00 $67,960.00 6.9 $185,250.00 Total Taxable Bonds $52,747,114.75 $54,191,695.36 -$1,444,580.61 89.8 $1,426,725.00 Total Assets $58,751,240.02 $60,195,820.63 -$1,444,580.61 100.0 $1,739,091.30 Estimated Current Yield 2.96
ASSET DETAIL MESSAGES
Time of trade execution and trading party (if not disclosed) will be provided upon request. 19 19568
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CITY OF LAGUNA NIGUEL Page 11 of 16
ACCOUNT NUMBER: 6736304200 January 1, 2024 to January 31, 2024
TRANSACTION DETAIL
Date
Posted Activity Description Cash Tax Cost
Beginning Balance 01/01/2024 $0.00 $58,987,039.45
01/02/24 Sale Matured 3,000,000 Par Value Of 3,000,000.00 -2,953,290.00 U S Treasury Nt 2.250% 12/31/23
3,000,000 Par Value At 100%
01/02/24 Asset Income Interest Eared On 33,750.00
J S Treasury Nt 2.250% 12/31/23
0.01125 USD/$1 Pv On 3,000,000 Par Value Due 12/31/23
01/02/24 Asset Income Interest Earned On 16,875.00
US Treasury Nt 2.250% 12/31/24
0.01125 USD/$1 Pv On 1,500,000 Par Value Due 12/31/23
01/02/24 Asset Income Interest Earned On 17,183.924
First Am Treas Ob Fd CI Z
Interest From 12/1/23 To 12/31/23
01/08/24 Asset Income Interest Earned On 976.71
eltic Bk C D 4.600% 12/08/2
003907 USD/$1 Pv On 250,000 Par Value Due 1/8/2
01/11/24 Cash Receipt Cash Receipt 1,000,000.00
Recd From City Of Laguna Niguel
Received In Account Via ACH
Due 10/27/21
Transfer Of Funds To Custody Account
01/16/24 Asset Income Interest Earned On 3,700.00
• H L B Deb 0.740% 7/14/2
.0037 USD/$1 Pv On 1,000,000 Par Value Due 1/14/2
01/16/24 Asset Income nterest Earned O 2,850.00
- HL MCM T N 0.570% 7/15/2
0.00285 USD/$1 Pv On 1,000,000 Par Value Due 1/15/24
01/22/24 Asset Income nterest Earned On 2,250.00
- HI L B Deb 0.720% 7/21/25
0.0036 USD/$1 Pv On 625,000 Par Value Due 1/21/24
01/22/24 Asset Income Interest Earned On 913.01
Medallion Bk C D 4.300% 12/22/28
0.003652 USD/$1 Pv On 250,000 Par Value Due 1/22/2
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ACCOUNT NUMBER: 6736304200 January 1, 2024 to January 31, 2024 TRANSACTION DETAIL (continued)
Date
Posted Activity Description Cash Tax Cost
01/24/24 Asset Income Interest Earned On 1,167.81
Nells Fargo C D 5.500% 4/24/25
.004671 USD/$1 Pv On 250,000 Par Value Due 1/24/2
01/25/24 Asset Income 5,923.29
01/26/24 Asset Income Interest Earned On 944.86
menity Cap Bk C D 4.450% 7/26/2
003779 USD/$1 Pv On 250,000 Par Value Due 1/26/:
01/29/24 Asset Income • Interest Earned On 955.48
Bank Five Nine C D 4.500% 7/28/28
0.003822 USD/$1 Pv On 250,000 Par Value Due 1/28/24
01/29/24 Asset Income Interest Earned On 913.01
First Natl Bk C D 4.300% 12/28/28
0.003652 USD/$1 Pv On 250,000 Par Value Due 1/28/24
01/30/24 Purchase CB De 3000 par Value of -2,493,800.00 2,493,800.00 Trade Date 1/29/24
Purchased Through Cantor Fitzgerald & Co.
2,500,000 Par Value At 99.752 %
01/30/24 Purchase Accrued Interest Paid Accrued Interest On Purchase Of -3,229.17 FF CB Deb 3.875% 1/18/29
Income Debit 3,229.17-USD
01/31/24 Purchase Purchased 250,000 Par Value Of -250,000.00 250,000.00 Spiritbank Tulsa CD 3.950% 1/31/29
Trade Date 1/29/24
Purchased On The OTC Bulletin Boar
250,000 Par Value At 100%
01/31/24 Sale Matured 2,500,000 Par Value O 2,500,000.00 -2,460,150.00 J S Treasury Nt 2.500% 1/31/2
2,500,00 Par Value At 100 %
01/31/24 Asset Income Interest Earned On 5,797.26
State Bk India C D 4.600% 8/02/27
0.023189 USD/$1 Pv On 250,000 Par Value Due 1/31/24
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ACCOUNT NUMBER: 6736304200 January 1, 2024 to January 31, 2024 TRANSACTION DETAIL (continued)
Date
Posted Activity Description Cash Tax Cost
01/31/24 Asset Income 15 Treasury N 2500% 11312 31,250.00 .0125 USD/$1 Pv On 2,500,000 Par Value Due 1/31/2
Purchase Frain reaso ra CorTe Period 1 129-1317207 -6,375,450.35 6,375,450.35 Sale FisAm tress0f Face period 1 124-131240f 2,497,029.17 -2,497,029.17 Ending Balance 01/31/2024 $0.00 $60,195,820.63
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CITY OF LAGUNA NIGUEL Page 14 of 16
ACCOUNT NUMBER: 6736304200 January 1, 2024 to January 31, 2024
SALE/MATURITY SUMMARY
Settlement Estimated
Date Description Tax Cost Proceeds Gain/Loss
Taxable Bonds
US Treasury Note
2.250 12/31/2023
912828V23
01/02/24 Matured 3,000,000 -2,953,290.00 3,000,000.00 46,710.00 Par Value
Trade Date 12/31/23
3,000,000 Par Value At 100 %
US Treasury Note
2.500 01/31/2024
912828529
01/31/24 Matured 2,500,000 -2,460,150.00 2,500,000.00 39,850.00 Par Value
Trade Date 1/31/24
2,500,000 Par Value At 100%
Total Taxable Bonds -$5,413,440.00 $5,500,000.00 $86,560.00 Total Sales & Maturities -$5,413,440.00 $5,500,000.00 $86,560.00
SALE/MATURITY SUMMARY MESSAGES
Estimated Year-To-Date Short-Term Gain (Loss): $273,940.62 Estimated Year-To-Date Long-Term Gain (Loss): $8,640.00 Estimates should not be used for tax purposes
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ACCOUNT NUMBER: 6736304200 January 1, 2024 to January 31, 2024
BOND SUMMARY
50%
40%
30%
0%
2024 2025 2026 2027 2028 2029
Percentage of
Par Value Market Value Category
MATURITY
2024 7,500,000.00 7,401,855.00 14.04
2025 18,825,000.00 18,190,559.75 34.49
2026 7,500,000.00 7,115,695.00 13.50
2027 7,000,000.00 6,914,890.00 13.10
2028 10,500,000.00 10,380,550.00 19.67
2029 2,750,000.00 2,743,565.00 5.20
Total of Category $54,075,000.00 $52,747,114.75 100.00
MOODY'S RATING
Aaa 49,075,000.00 47,700,704.75 90.43
N/A 2,500,000.00 2264, 432.50 4.74
NOT RATED 2,500,000.00 4.83
Total of Category $54,075,000.00 $52,747,114.75 100.00
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ACCOUNT NUMBER: 6736304200 January 1, 2024 to January 31, 2024 BOND SUMMARY (continued)
Percentage of
Par Value Market Value Category
S&P RATING
AA+ 33,325,000.00 32,106,039.75 60.87
N/A 16,750,000.00 16,573,365.00 31.42
NOT RATED 4,000,000.00 4,067,710.00 7.71
Total of Category $54,075,000.00 $52,747,114.75 100.00
BOND SUMMARY MESSAGES
Data contained within this section excluded Mutual Funds, Exchange Traded Funds, and Closed-Ended Funds. 25 PUBLIC
AGENCY PARS
RETIREMENT
SERVICES
CITY OF LAGUNA NIGUEL Account Report for the Period
PARS Post-Employment Benefits Trust 1/1/2024 to 1/31/2024 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 1/1/2024 Contributions Earnings Expenses Distributions Transfers 1/31/2024 PENSION $2,103,960.57 $0,00 $1,714,80 $1,019.76 $0,00 $0.00 S2,104,655,61 Totals S2,103,960.57 $0.00 S1,714.80 $1,019.76 S0.00 $0.00 S2,104,655.61 Investment Selection
Source
PENSION Moderately Conservative High Mark 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 0.08% 10.55% 6.67% 0.65% 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 returns Information is deemed reliable but may be subject to chang Investment 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 26