1. Investment Report for October 2021
MONTHLY SUMMARY COMPLIANCE CERTIFICATE
October 2021
Note: All concentration restrictions were obtained from Sections 53601 and 53635 of the Government Code or the City's Investment Policy as of June 8, 2021, whichever was the more stringent.
1. U.S. Agencies
(A) Total amount (book value) of U.S. Agency securities owned by the City = $60,081,045.
(B) Total amount allowed (75% of portfolio book value) of all City investments = $94,808,505.
Is (A) less than (B) at time of purchase? Yes X No_________
2. Money Market Mutual Funds
(A) Total amount (book value) invested in money market mutual funds by the City = $7,345,782.
(B) Total amount allowed ($15 million or 20% of portfolio book value, whichever is less) of all City investments = $15,000,000
Is (A) less than (B)? Yes X No
3. Medium-Term Notes
(A) Total amount (book value) invested in medium-term notes by the City = $17,203,626.
(B) Total amount allowed (20% of portfolio book value) of all City investments = $25,282,268.
Is (A) less than (B) at time of purchase? Yes X No
4. Excluded Investment Vehicles
(A) Are any securities excluded by the Statement of Investment Policy currently included in the City’s portfolio?
Yes No X
5. Investment Management Agreements
(A) Does the City have any investment manager or advisor agreements? Yes X No
(B) If so, was the agreement approved in advance by the City Council? Yes X No_____
(C) If so, has the City examined the methods and past performance of the investment manager? Yes X No_____
(D) If so, pursuant to the agreement, does the City retain authority to make investment decisions? Yes X No_____
(E) If so, pursuant to the agreement, are the investments deposited with the City’s custodian? Yes X No_____
6. Maturity Limits
(A) Does the City currently own any security with a maturity date in excess of five years? Yes____ No X
(B) Does the City currently hold no more than 50% of its portfolio in securities at time of purchase with maturities between 366 days and 730 days?
Yes__X__ No
(C) Does the City currently hold no more than 35% of its portfolio in securities at time of purchase with maturities between 731 days and 1095 days?
Yes__X__ No
(D) Does the City currently hold no more than 30% of its portfolio in securities at time of purchase with maturities between 1096 days and 1460 days?
Yes__X__ No
(E) Does the City currently hold no more than 30% of its portfolio in securities at time of purchase with maturities between 1461 days and 1825 days?
Yes__X__ No
7. Issuer Limits
Does each issuer of Money Market Mutual Funds continue to meet the following requirements?
(i) Is each issuer registered with the Securities and Exchange Commission under the Investment Company Act of 1940?
Yes No_____ N/A X
(ii) Does the fund of each issuer carry the highest rating of at least two of the three largest national rating agencies?
Yes No_____ N/A X
(iii) Has each issuer retained an investment adviser registered with the Securities and Exchange Commission with not less than five years’ experience managing money market mutual funds with assets under management in excess of $500 million? Yes No_____ N/A X
Prepared By: Audited By:
____________________ ____________________
Robert Moya Rosario Guzman
Budget Manager Accountant
We hereby certify that for the month of September 2021, the investment actions of the City of Orange comply in all respects with the requirements of the California Government Code and the City's current Investment Policy. Additionally, we certify that there is sufficient cash flow to cover the next six months’ expenditures barring any catastrophic natural disasters. Market values are obtained through ICE Data Pricing and Reference Data, the State Treasurer’s Office, U.S. Trust and U.S. Bank.
Certified By: Verified By:
____________________ _____________________ DATED: January 3, 2022 Richard A. Rohm William M. Kolbow
City Treasurer Assistant City Manager
Administrative Services Director
City of Orange Investment Portfolio
October 31, 2021
(Sorted by TYPE)
BANK / BROKER PURCHASE DESCRIPTION MATURITY RATE YIELD PAR BOOK MARKET
DATE DATE VALUE VALUE VALUE
(I) LOCAL AGENCY INVESTMENT FUND (LAIF)
City - 0.206 0.206 23,900,000.00 23,900,000.00 23,900,000.00 OSA - 0.206 0.206 14,900,000.00 14,900,000.00 14,900,000.00 38,800,000.00 38,800,000.00 38,800,000.00
(II) FEDERAL HOME LOAN MORTGAGE CORPORATION
Stifel Nicolaus & Co Inc. 12/10/2020 FHLMC 3/29/2024 0.350 0.350 5,000,000.00 5,000,000.00 4,963,375.30 Stifel Nicolaus & Co Inc. 11/19/2020 FHLMC 9/25/2024 0.400 0.408 4,575,000.00 4,573,966.17 4,542,032.28 UBS Financial Services 12/17/2020 FHLMC 6/17/2025 0.500 0.500 2,500,000.00 2,500,000.00 2,469,838.00 Stifel Nicolaus & Co Inc. 10/28/2020 FHLMC 10/28/2025 0.600 0.600 9,000,000.00 9,000,000.00 8,826,969.60 21,075,000.00 21,073,966.17 20,802,215.18
(III) FEDERAL NATIONAL MORTGAGE ASSOCIATION
UBS Financial Services 12/29/2020 FNMA 12/29/2023 0.280 0.280 5,000,000.00 5,000,000.00 4,984,248.55 UBS Financial Services 11/20/2020 FNMA 5/17/2024 0.375 0.375 5,000,000.00 5,000,000.00 4,976,356.30 UBS Financial Services 12/14/2020 FNMA 6/14/2024 0.375 0.375 5,000,000.00 5,000,000.00 4,968,032.15 UBS Financial Services 11/20/2020 FNMA 2/18/2025 0.500 0.500 5,000,000.00 5,000,000.00 4,958,681.85 20,000,000.00 20,000,000.00 19,887,318.85
(IV) FEDERAL HOME LOAN BANK
Stifel Nicolaus & Co Inc. 3/29/2021FHLB 3/28/2024 0.350 0.370 5,000,000.00 4,997,589.43 4,981,009.40 Stifel Nicolaus & Co Inc. 7/28/2021 FHLB 4/28/2025 0.650 0.650 4,000,000.00 4,000,000.00 3,972,447.12 Stifel Nicolaus & Co Inc. 5/4/2021 FHLB 4/29/2025 0.750 0.750 5,000,000.00 5,000,000.00 4,982,169.90 Stifel Nicolaus & Co Inc. 7/29/2021 FHLB 7/29/2026 0.900 0.859 5,000,000.00 5,009,488.89 4,942,355.30 19,000,000.00 19,007,078.32 18,877,981.72
(V) MEDIUM TERM NOTE
UBS Financial Services 9/20/2019 Coca Cola 9/6/2024 1.750 2.000 3,000,000.00 2,979,769.74 3,071,201.31 UBS Financial Services 12/10/2019 HSBC 6/23/2024 3.500 2.142 6,000,000.00 6,203,925.05 6,396,103.20 Stifel Nicolaus & Co Inc. 11/19/2020 Toyota 10/16/2025 0.800 0.696 5,000,000.00 5,020,161.29 4,902,419.55 Stifel Nicolaus & Co Inc. 2/8/2021 Apple 2/8/2026 0.700 0.702 3,000,000.00 2,999,769.45 2,937,680.19 17,000,000.00 17,203,625.53 17,307,404.25
(VI) U.S. TREASURY
Stifel Nicolaus & Co Inc. 9/30/2021 U.S. T-Note 9/30/2026 0.875 1.001 3,000,000.00 2,980,887.79 2,956,641.00 3,000,000.00 2,980,887.79 2,956,641.00
(VII) MONEY MARKET MUTUAL FUNDS (TREASURY)
Wells Fargo Bank U.S. T-Note - 0.010 0.010 7,345,781.74 7,345,781.74 7,345,781.74 7,345,781.74 7,345,781.74 7,345,781.74
Portfolio total 10-31-2021 126,220,781.74 126,411,339.55 125,977,342.74 Portfolio total 9-30-2021 132,699,123.98 132,895,659.13 132,943,609.38 Port.4
Investment Transactions
October 2021
SETTLEMENT DATE DESCRIPTION RATE YIELD CALLABLE PAR PRICE Various dates Sweep Account 0.010% 0.010% N/A $ 11,861,502.92 $11,861,502.92 10/15/2021 L.A.I.F. 0.203% 0.203% N/A $ 19,891.36 $19,891.36
PURCHASES / DEPOSITS
Investment Transactions
October 2021
SETTLEMENT DATE DESCRIPTION RATE YIELD CALLABLE PAR PRICE Various dates Sweep Account 0.010% 0.010% N/A $9,739,873.78 $9,739,873.78 Various dates L.A.I.F. 0.203% 0.203% N/A $19,891.36 $19,891.36
MATURITIES / WITHDRAWALS / CALLS
City of Orange Investment Portfolio
October 31, 2021
Portfolio Performance Measures
Portfolio Indexes
Rate of Return:
Portfolio Effective Rate of Return - for October 0.52% 0.05% 3 month Treasury -- October Average Portfolio Effective Rate of Return - for Fiscal Year-to-date 0.50% 0.06% 6 month Treasury -- October Average Portfolio Yield to Maturity at 10/31/2021 0.52% 0.10% 1 year Treasury -- October Average Total Rate of Return:
Total Rate of Return - for October (not annualized) -6.83% -1.02%1-3 Year Treasury Index--Total Rate of Return for October (not annualized) Total Rate of Return - for 2021 Y-T-D - (not annualized) -7.11% -1.04%1-3 Year Treasury Index--Total Rate of Return for 2021 Y-T-D (not annualized) Other:
Portfolio Weighted-Average Time to Maturity 2.08 Years
Market Value as percent of Portfolio, 10/31/2021 99.70% Market Value as percent of Portfolio, 9/30/2021 100.04% Federal Agency Securities as percent of Portfolio, 9/30/2021 47.53% Portfolio Effective Rate of Return: interest earnings (not receipts) for period divided by average daily balance for period, annualized (multiplied by quotient of 365 divided by days in period).
Portfolio Yield to Maturity: weighted-average yield to maturity (or call date, if applicable) for entire portfolio; in the case of coupon investments, includes an adjustment to the face rate for any premium paid or discount received.
Source of Market Value: ICE Data Pricing and Reference Data provides market value on all instruments.
Total Rate of Return: growth or decline in the value of the portfolio, including both changes in the market value and income, as a proportion of the starting value, adjusted on a time-weighted basis (per Modified Dietz Method) for cash flows into or out of the portfolio during the period.
The Modified Dietz Method assumes a constant rate of return on the portfolio during the period and is not based on daily valuations.
City of Orange Investment Portfolio
October 31, 2021
Total Portfolio $126,411,340
Chart Dollar Values in Millions of Dollars
Local Agency Investment Fund$38.8 30.69%Yield 0.206%Federal National Mortgage Association$20.0 15.82%Yield 0.382%Apple Medium Term Note$3.0 2.37%Yield 0.702%Coca ColaMedium Term Note$3.0 2.36%Yield 2.000%ToyotaMedium Term Note$5.0 3.97%Yield 0.696%Money Market Mutual Funds$7.3 5.81%Yield 0.010%U.S. Treasury$3.0 2.36%Yield 1.001%Federal Home Loan Mortgage Corp$21.1 16.67%Yield 0.487%Federal Home Loan Bank$19.0 15.04%Yield 0.658% HSBCMedium Term Note$6.2 4.91%Yield 2.143%
City of Orange Investment Portfolio
October 31, 2021
Maturity Aging Schedule
Maturing in Book Value
0-1 years 46,145,782 37%
1-2 years 0 0%
2-3 years 0 0%
3-4 years 77,284,670 61%
4-5 years 2,980,888 2%
$126,411,340 100%
Weighted-average years to maturity for portfolio = 2.08 $0$10,000,000$20,000,000$30,000,000$40,000,000$50,000,000$60,000,000$70,000,000$80,000,000$90,000,000$100,000,0000-1 years 1-2 years 2-3 years 3-4 years 4-5 years City of Orange
Reconciliation of Total Cash and
Investments to General Ledger
As of October 31, 2021
Treasurer's Operating Cash and Investments
Checking, Payroll & PMA - Wells Fargo 191,595
Treasurer's Investments 126,411,340
Cash in transit (3,742,765)122,860,170
Imprest Cash 12,200
Fiscal Agent Cash and Investments 32,923,305
Total Cash & Investments 155,795,675
Total Cash and Investments per General Ledger 1 153,119,314 Plus Outstanding Checks 2,676,360
Total Cash & Investments 155,795,675
1 Includes adjustment for month-end timing differences. GL Cash.4 Attachment V
City of Orange
Fiscal Agent Investments
As of October 31, 2021
Carrying
Value
Market or
Contract
Value
Fiscal Agent Cash and Investments
Community Facilities District 91-2 2013 Special Tax Refunding Bonds - U.S. Bank 1,569,892 1,569,892 First American Government Obligation Fund (0.02%)
Lease Revenue Bonds Series 2020 A 29,676,593 29,676,593 First American Government Obligation Fund (0.02%)
Successor Agency 2008A Merged & Amended Tax Allocation Bonds - U.S. Bank 2,493 2,493 First American Government Obligation Fund (0.02%)
Successor Agency 2008B Merged & Amended Tax Allocation Bonds - U.S. Bank 3 3 First American Government Obligation Fund (0.02%)
Community Facilities District 06-1 2015 Special Tax Refunding Bonds - U.S. Bank 1,662,928 1,662,928 First American Government Obligation Fund (0.02%)
US Treasury Bond (4.375%)
Successor Agency 2014A Merged & Amended Tax Allocation Refunding Bonds - U.S. Bank 10 10 First American Government Obligation Fund (0.02%)
Successor Agency Refunding Bonds 2018A - U.S. Bank 1 1 First American Government Obligation Fund (0.02%)
Pension Obligation Bonds 11,385 11,385
First American Government Obligation Fund (0.02%)
Total Fiscal Agent Cash and Investments 32,923,305 32,923,305