AR 18 ATTACHMENT A — Pasadena City Council, November 14, 2022

ATTACHMENT A
City of Pasadena
Quarterly Investment Report
Quarter Ending 09/30/2022
Prepared by the Department of Finance
Treasury Division
Quarterly Investment Report
I. Pooled Investment Portfolio
II. Capital Endowment Portfolio
Power Reserve Portfolio
IV. Miscellaneous Portfolios
V. Investments Held by Trustees
VI. PARS Section 115 Trust
I. Pooled Investment Portfolio
f°"~^\
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CITY OF PASADENA
Treasurer's Pooled Investment Portfolio
•<TED
September 2022
Vicken Erganian
City Treasurer

PORTFOLIO COMPLIANCE
The Treasurer's investment portfolio is in compliance with the California Government Code Section 53601 and the City's Investment Policy approved by the City Council on June 20, 2022. The holdings in the investment pool are in compliance with the current investment policy statement. Further information on compliance issues can be obtained by calling the City of Pasadena Treasurer's Office. A complete copy of the monthly investment report on the investment portfolio including a detailed listing of each investment, is available by calling the Treasurer's office at (626)744-4422.

PORTFOLIO STRUCTURE AS OF 9/30/2022
TYPE
Money Market- Collateralized
Certificates of Deposit
Municipal Bonds
Corporate Bonds
Federal Agencies
US Treasury Securities
Supernationals
Commercial Paper
Money Market-CAMP
US Treasury Securities Disc
LAIF
Cash in Bank
TOTALS:

Accrued Interest Receivable
GRAND TOTAL:

MARKET VALUE
452
1,250,000
32,955,709
86,356,143
325,670,148
46,495,710
23,060,228
14,853,560
69,389,918
9,780,250
1,223,759
3,026,602
614,062,479
1,514,837
615,577,316

PERCENT

0.00%
0,20%

5.37%

14.06%

53.04%

7.57%

3.76%

2.42%

11.30%

1.59%

0.20%

0.49%
100.00%
.USJre™ry Certific.te ofSec.nt,esD;» --n^,;1.59%
Commercial
Paper

0.20%
Supranationals

3.76%
US Treasury

7.57%

2.42%
MMP-ColIatml

0.00%
Mone>r Market-
CAMP
Cash 11.30%LAIF

0.20%in
Bank

0.49%
Mmi
Corp Bond

14.06%
Fed Agency

53.04%
PORTFOLIO LIQUIDITY AS OF 9/30/2022
Aging Interval
0-30 Days
31 days-1 Year
1 - 2 Years
2 - 3 Years
3 - 4 Years
4 - 5 Years
Over 5 Years
TOTAL:

Par Value
86,040,731
69,270,000
131,325,000
169,167,778
195,498,000
15,000,000
666,301,509
Percent of
Portfolio

12.91%

10.40%

19.71%

25.39%

29.34%

2.25%

0.00%
100.00%

PORTFOLIO STATISTICS
Month-End Market Value
Modified Duration
Weighted Average Maturity
Current Book Yield to Maturity
Effective Yield - Year to Date
Interest Earned
Fiscal Year To Date Interest Earned
Fair Value Change Gain/(Loss)
Fiscal Year To Date change in fair value
Total Fiscal YTD Earnings
Sep-22
615,577,316

1.96 2.08

1.331%

1.160%
637,773
1,800,785
(7,920,701)
(12,552,107)
(10,751,322)
Aug-22
618,937,411

1.97 2.08

1.200%

1.110%
603,728
1,163,012
(7,017,634)
(4,631,406)
(3,468,394)
Jul-22
627,904,658

2.02 2.12

1.132%

1.060%
559,284
559,284
2,386,228
2,386,228
2,945,512
Jun-22
636,590,947

2.04 2.15

1.039%

0.820%
496,172
4,657,256
(3,328,870)
(30,842,193)
(26,184,937)
May-22
626,359,828

2.12 2.22

0.901%

0.800%
443,436
4,161,083
2,129,684
(27,513,323)
(23,352,239)
Apr-22
612,499,058

2.17 2.28

0.826%

0.800%
407,253
3,717,648
(5,350,921)
(29,643,007)
(25,925,359)
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Pooled Portfolio - Total Return Performance
|2003
! 2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
2020
2021
2022
Annual
Annual
Annual
Annual
Annual
Annual
Annual
Annual
Annual
Annual
Annual
Annual
1 st quarter
2nd quarter
3rd quarter
4th quarter
1 st quarter
2nd quarter
3rd quarter
4th quarter
1st quarter
2nd quarter
3rd quarter
4th quarter
1st quarter
2nd quarter
3rd quarter
4th quarter
1 st quarter
2nd quarter
3rd quarter
4th quarter
1st quarter
2nd quarter
3rd quarter
4th quarter
1st quarter
2nd quarter
3rd quarter
4th quarter
1st quarter
2nd quarter
3rd quarter
4th quarter
ICE BofA

1.31ndex

2.717

1.226

1.746

4.195

6.706

4.649

3.784

2.322

1.540

1.467

0.696

0.777

0.594

0.143

0.284
-0.350

0.671

0.982

0.660

0.027
-0.385

1.284

0.393

0.303

0.342
-0.182

0.856
-0.185

0.291

0.354

1.166

1.626

1.219

1.480

0.700

0.606

4.005

1.590

1.215

0.274

0.227

3.306
-0.028

0.063

0.088
-0.533
-0.410
-2.580
-0.625
-1.503
Pooled
Portfolio

2.931

2.090

2.073

4.474

5.736

3.474

3.398

1.806

1.490

1.788

0.417

1.321

0.628

0.141

0.431
-0.113

1.087

0.713

0.350

0.170
-0.520

0.713

0.440

0.419

0.380
-0.059

1.180
-0.097

0.269

0.431

1.038

1.641

0.963

1.054

0.593

0.590

3.200

0.495

0.962

0.287

0.236

1.980
-0.467

0.437

0.085
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-0.583
-2.910
-0.842
-1.713
lEffective Yield Fiscal YTD
I Pooled Portfolio effective yield 1.16%
IState Treasurer's LAIF yield 1.35%
12 Year Average US Treasury yield 3.38%
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II. Capital Endowment Portfolio
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CITY OF PASADENA
Capital Endowment Portfolio
September 2022
Vicken Erganian
City Treasurer

PORTFOLIO STRUCTURE AS OF 9/30/2022
rrpE
Money Market- Collateralized
Money Market-CAMP
Federal Agencies
TOTALS:

Accrued Interest Receivable
GRAND TOTAL:

MARKET VALUE
13 64,103
1,762,210
1,826,327
6,792
1,833,119

PERCENT

0.00%

3.51%

96.49%
100.00%
MMF-
Collateral,

0.00%
^..1:':f
MMF-
CAMP,
--^^il%
<^
Federal
Agencies,

96.49%
PORTFOLIO LIQUIDITY AS OF 9/30/2022
Aging Interval
0-30 Days
31 days-1 Year
1-2 Years
2 - 3 Years
3 - 4 Years
4-5 Years
Over 5 Years
TOTAL:

Par Value
64,116
1,900,000
1,964,116
Percent of
Portfolio

3.26%

0.00%

96.74%

0.00%

0.00%
100.00%

PORTFOLIO STATISTICS
Month-EndMkt Value
Modified Duration
Weighted Average Maturity
Current Book Yield to Maturity
Effective Yield - Year to Date
Interest Earned
Fiscal Year To Date Interest Earned
Fair Value Change Gain/(Loss)
Fiscal Year To Date change in fair value
Total Fiscal YTD earnings
Sep-22
1,833,119

2.00 2.08

1.066%

1.030%
1,726
5,106
(26,282)
(57,605)
(52,499)
Aug-22
1,857,675

2.09 2.16

1.046%

1.010%
1,708
3,381
(20,154)
(31,323)
(27,942)
Jul-22
1,876,121

2.18 2.24

1.032%

1.000%
1,672
1,672
(11,169)
(11,169)
(9,496)
Jun-22
1,885,618

2.26 2.33

1.014%

1.000%
1,741
19,860
(12,736)
(86,808)
(66,948)
May-22
2,020,613

2.20 2.26

0.993%

1.000%
1,709
18,119
9,947
(74,072)
(55,953)
Apr-22
2,008,957

2.27 2.35

0.959%

1.000%
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16,410
(15,610)
(84,019)
(67,609)
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. Power Reserve Pori:folio
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CITY OF PASADENA
Power Reserve Portfolio
Vicken Erganian
City Treasurer
September 2022

PORTFOLIO STRUCTURE AS OF 9/30/2022

TCPE MARKET VALUE PERCENT
Money Market - Collateralized 33 0.00%
Municipal Bonds 1,822,480 4.65%
Federal Agencies 28,749,570 73.43%
L.A.I.F. 21,290 0.05%
Money Market-CAMP 8,561,276 21.87%
TOTALS: 39,154,649 100.00%
Accrued Interest Receivable 219,446
GRAND TOTAL: 39,374,095
Money Market-
Mone;' Market- CAMP
CAMP 1.03%

21.87%
Muni
65%
Municipal
Bonds
g
Fed Agency
Aging Interval
0-30 days
31 days-1 Year
1 - 2 Years
2-3 Years
3-4 Years
4-5 Years
Over 5 Years
TOTAL:

PORTFOLIO LIQUIDITY AS OF 9/30/2022
Percent of
Par Value
8,582,599
5,000,000
2,000,000
32,666,667
48,249,266
Portfolio

17.79%

0.00%

10.36%

0.00%

4.15%

67.70%
100.00%

PORTFOLIO STATISTICS
Month-End Market Value
Modified Duration
Weighted Average Maturity
Current Book Yield to Maturity
Effective Yield - Year to Date
Interest Earned
Fiscal Year To Date Interest Earned
Fair Value Change Gain/fLoss)
Fiscal Year To Date change in fair value
Total Fiscal YTD Earnings
Sep-22
39,374,095

6.55 8.81

1.918%

1.670%
70,296
201,630
(1,756,826)
(2,689,179)
(2,487,548)
Aug-22
41,061,284

6.86 8.88

1.648%

1.610%
65,901
131,335
(1,431,063)
(932,352)
(801,018)
Jul-22
42,426,446

7.09 8.98

1.640%

1.610%
65,434
65,434
498,711
498,711
564,145
Jun-22
41,862,302

7.09 9.05

1.567%

1.410%
60,723
673,920
(397,125)
(6,000,734)
(5,326,814)
May-22
42,197,779

7.20 9.12

1.510%

1.390%
60,200
613,196
200,809
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Power Reserve Portfolio - Total Return Performance
ICE BofA
3-5 Index
Power
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
"2020
2021
2022
Annual
Annual
Annual
Annual
Annual
Annual
Annual
Annual
Annual
Annual
Annual
Annual
1st quarter
2nd quarter
3rd quarter
4th quarter
1 st quarter
2nd quarter
3rd quarter
4th quarter
1st quarter
2nd quarter
3rd quarter
4th quarter
1st quarter
2nd quarter
3rd quarter
4th quarter
1 st quarter
2nd quarter
3rd quarter
4th quarter
1 st quarter
2nd quarter
3rd quarter
4th quarter
1st quarter
2nd quarter
3rd quarter
4th quarter
1st quarter
2nd quarter
3rd quarter
4th quarter

2.420

1.390

0.080
-1.840

2.050

0.773

0.873

0.567
-0.398

1.815
-0.890

0.013

0.188

1.812

1.123

2.245

2.530

1.196

0.430

6.401

1.594

1.215

0.274

0.227

3.31 -1.178

0.634
-0.037
-0.896
-1.477
-5.627
-2.810
-4.590
eserve

3.940

3.430

2.615

4.540

6.960

3.683

3.714

1.206

2.547

3.027
-0.184

2.688

0.910

0.039

0.884
-0.469

1.364

1.197

0.560

0.190
-2.340
-0.393

0.830

0.803

0.515

0.071

2.219
-0.702

0.284

0.048

1.987

1.617

1.538

1.704

0.877

0.460

4.579

0.950

0.625

0.249

2.073
-2.549

3.715
-0.554
-0.015

0.597
-6.886
-4.182
-5.972
|Effective Yield Fiscal YTD
[Power Reserve effective ^eld 1.67%
IState Treasurer's LAIF yield 1 .35%
|2 Year Average Treasury yield 3.38%
• Index has been changed to LT03TRUU 5-7 Year Index beginning 2022 20 (N
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3. I
VI. PARS Section 115 Trust
City of Pasadena
PARS Section 115 Trust
For the Month Ended September 30,2022
Pension Account 6746056200
Beginning Balance
Activity
Contributions
Disbursements
Market Value
11,820,862.94
Book Value
12,575,840.58
Total
Net Investment Income
Dividends
Interest
Other Income
Change in Accrued Income
Net Change in Unrealized Gain/Loss
Realized Gain/Loss
Total Investment Income
Total Market Value Adjustment
Trust Fees
PARS Fee (Net of Depository Earnings)
Unreconciled Difference
Ending Balance
Investment Return (Inception-To-Date as of 9/30/2022)
Benchmark Return (PARS Moderately Conservative)
Total
28,010.81
1,109.34

0.44 1,800.28
30,920.87
(650,228.94)
(5,630.18)
(655,859.12)
(2,545.11)
(2,320.45)
(4,865.56)
11,191,059.13
28,010.81
1,109.34

0.44 1,800.28
30,920.87
(5,630.18)
(5,630.18)
(2,545.11)
(2,320.45)
(4,865.56)
12,596,265.71
1 Year Inception To Date
-15.04% 1.86%
-13.80% 2.14%
Asset Allocation
Cash and Equivalents
Equity
Fixed Income
Accrued Income
Total
Market Value
580,922.76
3,090,168.23
7,517,058.48
2,909.66
11,191,059.13
Percentage

5.19%

27.61%

67.17%

0.03%
100.00%
Accrued Income

0.03%
Cash and Equivalents

5.19%
Fixed Income

67.17%
Equity

27.61%
Account Manager:

Kyra Clarke
3121 Michelson Dr 3rd Fl
lrvine.CA 92612
949-224-7214, [email protected]
30 City of Pasadena
PARS Section 115 Trust
For the Month Ended September 30,2022
Post Employments Benefits Trust 6746056201
Beginning Balance
Activity
Contributions
Disbursements
Market Value
2,239,342.14
Book Value
2,383,747.51
Total
Net Investment Income
Dividends
Interest
Other Income
Change in Accrued Income
Total Investment Income
5,288.49
204.13
333.39
5,826.01
5,288.49
204.13
333.39
5,826.01
Net Change in Unrealized Gain/Loss, Fee Receipts & Deliveries Net Realized Gain/Loss
Total Market Value Adjustment
Trust Fees
PARS Fee (Net of Depository Earnings)
Unreconciled Difference
Ending Balance
Investment Return (Inception-To-Date as of 9/30/2022)
Benchmark Return (PARS Moderately Conservative)
Total
(123,393.14)
(1,083.28)
(124,476.42)
(485.05)
(439.58)
(924.63)
2,119,767.10
(1,083.28)
(1,083.28)
(485.05)
(439.58)
(924.63)
2,387,565.61
1 Year Inception To Date
-15.03% 1.83%
-13.80% 2.07%
Asset Allocation
Cash and Equivalents
Equity
Fixed Income
Accrued Income
Total
Market Value
107,041.99
585,093.43
1,427,093.76
537.92
2,119,767.10
Percentage

5.05%

27.60%

67.32%

0.03%
100.00%
Accrued Income

0.03%
Cash and Equivalents

5.05%
Fixed Income!

67.32%
Equity

27.60%
Account Manager:

Kyra Clarke
3121 Michelson Dr 3rd Fl
Irvine, CA 92612
949-224-7214, [email protected]
31

Pasadena City CouncilNovember 14, 2022

Pasadena City Council
November 14, 2022