Attachment A
City of Pasadena
Quarterly Investment Report
Quarter Ending 3/31/2023
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 hleld by Trustees
VI. PARS Section 115 Trust
I. Pooled Investment Portfolio
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CITY OF PASADENA
Treasurer's Pooled Investment Portfolio
March 2023
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 3/31/2023
rrpE
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
Accrued Interest Receivable
TOTALS:
GRAND TOTAL:
MARKET VALUE
1,141
1,250,000
31,760,656
80,329,676
371,546,334
47,341,995
23,528,430
24,456,710
53,559,588
14,890,340
1,255,553
2,433,010
652,353,432
1,927,305
654,280,737
PERCENT
0.00%
0.19%
4.87%
12.31%
56.95%
7.26%
3.61%
3.75%
8.21%
2.28%
0.19%
0.37%
100.00%
US Trcasun'
Securities Disc
2.28%
Cc
Supranationals
3.61%
US Treasury
7.26%
:rcial
Paner Money Mal'ket'
c^
Certificates of
Deposit
0.19%
MMF-CollateraI
c.^, »-°»%
-LAIF "ino-lw' Bank
0.37%
Muni
«^4.87%
Corp Bond
Fed Agency
56.95%
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 3/31/2023
Percent of
Par Value
62,496,706
158,520,000
152,000,000
257,242,778
49,748,000
10,000,000
690,007,484
Portfolio
9.06%
22.97%
22.03%
37.28%
7.21%
1.45%
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
Mar-23
654,280,737
1.63 1.73
1.865%
1.470%
887,034
6,597,654
7,300,895
(2,649,387)
3,948,267
Feb-23
640,262,216
1.66 1.78
1.802%
1.430%
814,056
5,710,620
(4,637,958)
(9,950,281)
(4,239,662)
Jan-23
653,538,059
1.71 1.82
1.788%
1.370%
850,681
4,896,563
4,567,284
(5,312,323)
(415,760)
Dec-22
631,449,881
1.82 1.94
1.707%
1.310%
795,749
4,045,882
532,669
(9,879,607)
(5,833,725)
Nov-22
620,128,765
1.S2
1.94 1.479%
1.260%
738,376
3,250,134
3,972,334
(10,412,276)
(7,162,142)
Oct-22
618,944,368
1.87 2.00
1.403%
1.210%
710,973
2,511,758
(1,832,503)
(14,384,610)
(11,872,852)
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i 2003
! 2004
;2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
2020
2021
2022
2023
Annual
Annual
Annual
Annual
Annual
Annual
Annual
Annual
Annual
Annual
Annual
Annual
1st 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
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
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
0.982
0.660
0.027
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
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0.063
0.088
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Portfolio
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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
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0.713
0.440
0.419
0.380
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1.180
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0.269
0.431
1.038
1.641
0.963
1.054
0.593
0.590
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0.495
0.962
0.287
0.236
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0.437
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Yield Fiscal YTD
IPooled Portfolio YTM 1.86%
|State Treasurer's LAIF yield 1.97%
|2 Year Average US Treasury yield 4.03%
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C\T\ OF PASADENA
Capital Endowment Portfolio
March 2023
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 3/31/2023
TfPE MARKET VALUE PERCENT
Money Market-CAMP 74,991 4.00%
Federal Agencies 1,797,670 96.00%
TOTALS: 1,872,662 100.00%
Accrued Interest Receivable 6,956
GRAND TOTAL: 1,879,618
Federal
Agencies,
96.00%
MMF-
CAMP,
4.00%
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 3/31/2023
Percent of
Par Value
74,704
1,900,000
1,974,704
Portfolio
3.78%
0.00%
0.00%
96.22%
0.00%
0.00%
0.00%
100.00%
Mar-23
Month-End Mkt Value 1,879,618
Modified Duration 1.53
Weighted Average Maturity 1.59
Current Book Yield to Maturity 1.151%
Effective Yield - Year to Date 1.090%
Interest Earned 1,889
Fiscal Year To Date Interest Earned 16,158
Fair Value Change Gain/(Loss) 27,890
Fiscal Year To Date change in fair value (22,145)
Total Fiscal YTD earnings (5,987)
PORTFOLIO STATISTICS
Feb-23 Jan-23
1,849,852
1.61 1.67
1.144%
1.090%
1,884
14,2SS
(15,152)
(50,035)
(35,766)
1,863,120
1.69 1.75
1.137%
1.070%
1,870
12,385
14,759
(34,882)
(22,497)
Dec-22
1,846,492
1.77 1.83
1.134%
1.060%
1,854
10,516
3,874
(49,642)
(39,126)
Nov-22
1,840,763
1.84 1.91
1.116%
1.050%
1,800
8,661
10,176
(53,516)
(44,855)
Oct-22
1,828,787
1.92 2.00
1.074%
1.040%
1,755
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(6,086)
(63,691)
(56,830)
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CIPT OF PASADENA
Power Reserve Portfolio
I ^--^I
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March 2023
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 3/31/2023
TYPE MARKET VALUE PERCENT
Municipal Bonds 1,858,300 4.61%
Federal Agencies 29,392,656 72.84%
L.A.I.F. 42,861 0.11%
Money Market-CAMP 9,058,508 22.45%
TOTALS: 40,352,325 100.00%
Accrued Interest Receivable 223,757
GRAND TOTAL: 40,576,082
Money Market-
CAMP
1.03% Micipal
Bonds
4.54%
LAIF
0.11%
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Agency
72.84%
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 3/31/2023
Percent of
Portfolio Par Value
9,101,402
5,000,000
2,000,000
32,666,667
48,768,069
18.66%
0.00%
0.00%
10.25%
0.00%
4.10%
66.98%
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
Mar-23
40,576,082
6.18 8.31
2.297%
2.000%
92,335
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900,808
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(1,285,556)
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6.18 8.39
2.262%
1.970%
91,177
632,382
(947,914)
(2,911,081)
(2,278,699)
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40,439,710
6.37 8.48
2.218%
1.910%
89,362
541,205
797,795
(1,963,167)
(1,421,962)
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)
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39,567,133
6.40 8.63
2.119%
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84,298
364,298
1,220,375
(2,658,808)
(2,294,510)
Oct-22
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6.28 8.71
1.964%
1.730%
78,370
280,000
(1,190,005)
(3,879,183)
(3,599,183)
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Power Reserve Portfolio - Total Return Performance
2003
2004
2005
2006
2007
2008
|2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
"2020
2021
2022
2023
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
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
1 st quarter
2nd quarter
3rd quarter
4th quarter
1 st quarter
2nd quarter
3rd quarter
4th quarter
1st quarter
ICE BofA
3.5 Index
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 2.21
Power
Reserve
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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
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0.625
0.249
0.249
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-2.549
3.715
-0.554
-0.015
0.597
-6.886
-4.182
-5.972
0.454
2.517
Yeld Fiscal YTD
Power Reserve YTM 2.30%
State Treasurer's LAIF yield 1.97%
2 Year Average Treasury yield 4.03%
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VI. PARS Section 115 Trust
City of Pasadena
PARS Section 115 Trust
For the Month Ended March 31, 2023
Pension Account 6746056200
Beginning Balance
Market Value
11,804,903.65
Book Value
12,548,817.28
Activity
Contributions
Disbursements
Total
Net Investment Income
Dividends
Interest
Other Income
Change in Accrued Income
Total Investment Income
42,326.41
1,832.11
308.03
44,466.55
42,326.41
1,832.11
308.03
44,466.55
Net Change in Unrealized Gain/Loss
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 3/31/2023)
Benchmark Return (PARS Moderately Conservative)
Total
150,845.13
(689.55)
150,155.58
(2,573.80)
(2,317.79)
(4,891.59)
11,994,634.19
(689.55)
(689.55)
(2,573.80)
(2,317.79)
(4,891.59)
12,587,702.69
1 Year Inception To Date
-5.39% 3.15%
-4.39% 3.45%
Asset Allocation
Cash and Equivalents
Equity
Fixed Income
Accrued Income
Total
Market Value
563,289.80
3,482,717.85
7,946,486.37
2,140.17
11,994,634.19
Percentage
4.70%
29.04%
66.25%
0.02%
100.00%
Accrued income
0.02%
Cash and Equivalents
4.70%
^„ Equity
^
Fixed Income
66.25%
Account Manager:
Kyra Clarke
3121 MichelsonDr3rdFI
lrvine,CA 92612
949-224-7214, [email protected]
30 City of Pasadena
PARS Section 115 Trust
Forthe Month Ended March 31, 2023
Post Employments Benefits Trust 6746056201
Beginning Balance
Activity
Contributions
Disbursements
Market Value
2,236,317.92
Book Value
2,379,345.28
Total
Net Investment Income
Dividends
Interest
Other Income
Change in Accrued Income
Total Investment Income
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
8,109.63
333.17
45.44 8,488.24
29,369.97
(842.46)
28,527.51
(488.27)
(439.08)
Ending Balance
Investment Return (Inception-To-Date as of 3/31/2023)
Benchmark Return (PARS Moderately Conservative)
(927.35)
2,272,406.32
8,109.63
333.17
45.44 8,488.24
(842.46)
(842.46)
(488.27)
(439.08)
(927.35)
2,386,063.71
1 Year
-5.40%
-4.39%
Inception To Date
3.19%
3.46%
Asset Allocation
Cash and Equivalents
Equity
Fixed Income
Accrued Income
Total
Market Value
103,852.57
660,011.06
1,508,163.43
379.26
2,272,406.32
Percentage
4.57%
29.04%
66.37%
0.02%
100.00%
Accrued income
0.02%
Fixed Income
Cash and Equivalents
4.57%
Equity
29.04%
Account Manager:
Kyra Clarke
3121 MichelsonDr3rdFI
lrvine,CA 92612
949-224-7214, [email protected]
31