City of Pasadena
Quarterly Investment Report
Quarter Ending 12/31/2022
Prepared by the Department of Finance
Treasury Division
Quarterly Investment Report
I. Pooled Investment Portfolio
II. Capital Endowment Portfolio
I. Power Reserve Portfolio
IV. Miscellaneous Portfolios
V. Investments Held by Trustees
VI. PARS Section 115 Trust
I. Pooled Investment Portfolio
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CITY OF PASADENA
Treasurer's Pooled Investment Portfolio
December 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 12/31/2022
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
454
1,250,000
32,408,639
89,268,825
342,677,339
46,761,130
23,154,155
24,314,460
57,331,643
9,830,710
1,249,044
1,477,316
629,723,714
1,726,167
631,449,881
PERCENT
0.00%
0.20%
5.15%
14.18%
54.42%
7.43%
3.68%
3.86%
9.10%
1.56%
0.20%
0.23%
100.00%
r~
Supranarionals
3.68%
US Treisuiy
7.43%
^as
Commercial
Paper
3.86%
US.Tre"su'y Certificates of
Deposit
0.20%
Securities Disc
1.56%
Money MaAet-
CAMP
9.10%LAIF
0.20%
MMF-ColIatcral
0.00% Cash
in
Bmk
.°-23% M..i
5.15%
Corp Bond
14.18%
;'»:
^
.iff
£
Fed Agency
34.42%
PORTFOLIO LIQUIDITY AS OF 12/31/2022
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
60,058,457
136,020,000
129,800,000
211,942,778
124,748,000
10,000,000
672,569,235
Percent of
Portfolio
8.93%
20.22%
19.30%
31.51%
18.55%
1.49%
0.00%
100.00%
PORTFOLIO STATISTICS
Dec-22 Nov-22 Oct-22 Sep-22 Aug-22 Jul-22
Month-End Market Value 631,449,881 620,128,765 618,944,368 615,577,316 618,937,411 627,904,658 Modified Duration 1.82 1.82 1.87 1.96 1.97 2.02
Weighted Average Maturity 1.94 1.94 2.00 2.08 2.08 2.12 Current Book Yield to Maturity 1.707% 1.479% 1.403% 1.331% 1.200% 1.132% Effective Yield - Year to Date 1.310% 1.260% 1.210% 1.160% 1,110% 1.060% Interest Earned 795,749 738,376 710,973 637,773 603,728 559,284 Fiscal Year To Date Interest Earned 4,045,882 3,250,134 2,511,758 1,800,785 1,163,012 559,284 Fair Value Change Gain/(Loss) 532,669 3,972,334 (1,832,503) (7,920,701) (7,017,634) 2,386,228 Fiscal Year To Date change in fair value (9,879,607) (10,412,276) (14,384,610) (12,552,107) (4,631,406) 2,386,228 Total Fiscal YTD Earnings (5,833,725) (7,162,142) (11,872,852) (10,751,322) (3,468,394) 2,945,512 1 CM
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12003
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[2005
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2014
2015
2016
2017
2018
2019
2020
2021
2022
Annual
Annual
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Annual
Annual
Annual
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Annual
Annual
Annual
Annual
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1st quarter
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4th quarter
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1 st quarter
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1 st quarter
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4th quarter
1st quarter
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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
ICE BofA
1-3 Index
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
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0.671
0.982
0.660
0.027
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1.284
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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
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3.398
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0.141
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IPooled Portfolio effective yield 1 .31 %
|State Treasurer's LAIF y'eld 1 .72%
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CITl< OF PASADENA
Capital Endowment Portfolio
December 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 12/31/2022
TfPE MARKET VALUE PERCENT
Money Market - Collateralized 13 0.00%
Money Market - CAMP 74,134 4.02%
Federal Agencies 1,770,174 95,98%
TOTALS: 1,844,320 100.00%
Accrued Interest Receivable 2,171
GRAND TOTAL: 1,846,492
MMF-MMF-
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Federal
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95.98%
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 12/31/2022
Percent of
Par Value
74,147
1,900,000
1,974,147
Portfolio
3.76%
0.00%
0.00%
96.24%
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0.00%
0.00%
100.00%
PORTFOLIO STATISTICS
Dec-22
Month-End Mkt Value 1,846,492
Modified Duration 1.77
Weighted Average Maturity 1.83
Current Book Yield to Maturity 1.134%
Effective Yield - Year to Date 1.060%
Interest Earned 1,854
Fiscal Year To Date Interest Earned 10,516
Fair Value Change Gain/fLoss) 3,874
Fiscal Year To Date change in fair value (49,642)
Total Fiscal YTD earnings (39,126)
Nov-22
1,840,763
1.84 1.91
1.116%
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10,176
(53,516)
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(6,086)
(63,691)
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(26,282)
(57,605)
(52,499)
Aug-22
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(20,154)
(31,323)
(27,942)
Jul-22
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CIFf OF PASADENA
Power Reserve Portfolio
December 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 12/31/2022
TCPE MARKET VALUE PERCENT
Money Market-Collateralized 33 0.00%
Municipal Bonds 1,834,120 4.66%
Federal Agencies 28,666,148 72.87%
LAI.F. 42,654 0.11%
Money Market-CAMP 8,795,916 22.36%
TOTALS: 39,338,871 100.00%
Accrued Interest Receivable 213,683
GRAND TOTAL: 39,552,554
Money Market-
CAMP
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4.66%
Money Market-
CAMP
22.36%
r
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Bond
4.54%
Fed Agency
72.87%
PORTFOLIO LIQUIDITfAS OF 12/31/2022
Percent of
Par Value 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:
8,838,603
5,000,000
2,000,000
32,666,667
48,505,270
Portfolio
18.22%
0.00%
0.00%
10.31%
0.00%
4.12%
67.35%
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
Dec-22
39,552,554
6.30 8.56
2,205%
1.860%
87,545
451,843
(102,153)
(2,760,961)
(2,309,118)
Nov-22
39,567,133
8.40 8.63
2.119%
1.810%
84,298
364,298
1,220,375
(2,658,808)
(2,294,510)
Oct-22
38,262,460
6.28 8.71
1.964%
1.730%
78,370
280,000
(1,190,005)
(3,879,183)
(3,599,183)
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
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564,145
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Power Resen/e 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
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
1 st 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
ICE BofA
3-5 Ind
4.214
2.740
0.980
4.184
7.656
4.610
3.784
1.113
1.555
1.467
-0.143
2.446
1.550
-0.178
0.995
-0.793
1.574
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
1.68 Power
Reserv
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
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
4.573
0.950
0.625
0.249
0.249
2.073
-2.549
3.715
-0.554
-0.015
0.597
-6.886
-4.182
-5.972
0.454
Effective Yield
iPowerResen/e effective yield
IState Treasurer's LAIF yield
|2 Year Average Treasury yield
1.86%
1.72%
3.82%
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VI. PARS Section 115 Trust
City of Pasadena
PARS Section 115 Trust
For the Month Ended December 31, 2022
Pension Account 6746056200
Beginning Balance
Activity
Contributions
Disbursements
Market Value
11,777,756.42
Book Value
12,636,102.66
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 12/31/2022)
Benchmark Return (PARS Moderately Conservative)
Total
109,797.85
1,761.44
7.81 1,833.00
113,400.10
(424,088.73)
118,784.23
(305,304.50)
(2,559.25)
(2,313.26)
(4,872.51)
11,580,979.51
109,797.85
1,761.44
7.81 1,833.00
113,400.10
118,784.23
118,784.23
(2,559.25)
(2,313.26)
(4,872.51)
12,863,414.48
1 Year Inception To Date
-13.45% 2.51%
-12.35% 2.85%
Asset Allocation
Cash and Equivalents
Equity
Fixed Income
Accrued Income
Total
Market Value
626,044.07
3,242,741.43
7,708,599.54
3,594.47
11,580,979.51
Percentage
5.41%
28.00%
66.56%
0.03%
100.00%
Accrued Income
0.03%
Cash and Equivalents
5.41%
Fixed Income
66.56%
„ Equity
2S.OO%
Account Manager:
Kyra Clarke
3121 MichelsonDrSrdFI
Irvine, CA 92612
949-224-7214, [email protected]
30 City of Pasadena
PARS Section 115 Trust
For the Month Ended December 31,2022
Post Employments Benefits Trust 6746056201
Beginning Balance
Activity
Contributions
Disbursements
Market Value
2,231,180.08
Book Value
2,395,252.33
Total
Net Investment Income
Dividends
Interest
Other Income
Change in Accrued Income
Total Investment Income
19,497.63
309.99
0.11 41.84
19,849.57
19,497.63
309.99
0.11 41.84
19,849.57
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
Total
Ending Balance
Investment Return (Inception-To-Date as of 12/31/2022)
Benchmark Return (PARS Moderately Conservative)
(81,389.57)
23,262.61
(58,126.96)
(486.45)
(438.23)
(924.68)
2,191,978.01
23,262.61
23,262.61
(486.45)
(438.23)
(924.68)
2,437,439.83
1 Year Inception To Date
-13.48% 2.52%
-12.35% 2.82%
Asset Allocation
Cash and Equivalents
Equity
Fixed Income
Accrued Income
Total
Market Value
107,786.28
614,631.63
1,469,207.75
352.35
2,191,978.01
Percentage
4.92%
28.04%
67.03%
0.02%
100.00%
Accrued Income
0.02%
Cash and Equivalents
4.92%
Equity
28.04%
-s
Fixed Income
67.03%
Account Manager:
Kyra Clarke
3121 MichelsonDr3rdFI
lrvine,CA92612
949-224-7214, [email protected]
31