City of Torrance, California
Monthly Investment Portfolio
Report
September
, 2024
Table of Content
s
Page
I.
Portfolio Report Summary
Table of
Contents………………………………………………………………………………..
1 Summary Notes………………
…………………………………………………………………..
2 -
3 I
I
.
Pooled Funds
Portfolio Highlights………………………………………………………………………………
4 Portfolio Activity Summary…………………………………………………………………..
4 Portfolio Summary…………………………………………………………………………….…
5 Portfolio Monthly Activity
Detail
………………………………………
………………….
6 Portfolio Performance………………………………………………………………………….
7 Portfolio Earnings Summary…………………………………………………………………
7 Portfolio Distribution
Maturity Distribution……………………………………………………………………………
8 Assigned Credit Ratings
of Investments………………………………………………..
9 Federal Agencies Distribution………………………………………………………………
9 Portfolio Sectors…………………………………………………………………………………..
9 Value of Portfolio per GASB 31..
…………………………………………………………..
1 0
Detailed Reports
Investment Portfolio……………………………………………………………………………
.
11-14
IV.
Appendix A
Notes to Investment Report
………………………………………………………………
1 5
-1 6
V.
Appendix B
Glossary ……………………………………………………………………………………………
1 7
-2
2 Attachment A
1 ATTACHMENT 1
City of Torrance, California
Investment Report Summary Notes
For the Month of:
September
2024
2024
`
Prepared
by
the
Office of the Treasurer
for the Investment Advisory Committee
Summary
The City's investment objectives, in order of priority, shall be safety, which is investing in the highest quality securities, liquidity, which can be converted into cash and necessary to meet our cash flow disbursement requirements, and yield, which is earning a higher yield than the market rate of return.
City’s portfolio yielded 4.489% for September, a slight increase of 0.7 basis points over the previous month. The fiscal year-to-date earnings are $3,448,596.36.
As of September 30, 2024, the ending balance of total funds was $328,138,464, a slight decrease of $ 2,009,616 from the previous month, which included investments of $307,983,569 and cash of $20,154,895.
For the month of September, California Asset Management Program (CAMP) ’s balance was $78M, earning a yield of 5.290%. The Local Agency Investment Funds ( LAIF)’s yield remains lower, at 4.575%. Staff continue to monitor these rates relative to the cash flow needs of City operations and invest the funds accordingly.
No new fixed income instrument s were purchased during the month . Seven investments totaling $20.5M were matured or called, with an average yield of 4.212%.
Maturities/Calls:
Liquidity of the Portfolio
❖ A yield curve is typically defined as the difference between the 3-month and 10-year treasury rate. However, the City uses the 1-year and 5-year yield curve, as the City is allowed to purchase investments for up to five years per the City's investment policy. The shape of the 1-year and 5-year yield curve continues to show a decline, which means the 1-year yield is higher than the 5-year. As of September 30, 2024, the 1 -year, 3 -year and 5 -year treasury yield s were 3.98%, 3.58% and 3.58%, respectively.
❖ The City is in compliance with California Government Code Section 53646 which requires the local agency to report on its ability to meet pooled expenditure $ 330,148,080.08
$ 328,138,464.17
$ (2,009,615.91)
Ending Balance of Total Funds as of September 30, 2024
Difference
Ending Balance of Total Funds as of August 31, 2024
Maturities/
Calls/Sales
Broker
Purchase
Date
Description
NRSRO
Rating
Maturity/Call/
Sale Date
Days
Held/Days to
Maturity/Sale
Coupon (%)
YTM 365 (%)
Par Value ($)
11348
WB
10/9/2019
FFCB
AA+
9/17/2024
4.9 1.455%
1.455%
$2,000,000.00
11397
Stifel
12/29/2022
FHLB
AA+
9/29/2024
1.8 4.990%
4.990%
$5,000,000.00
11398
Stifel
12/30/2022
FHLMC
AA+
9/30/2024
1.8 5.240%
5.240%
$5,000,000.00
11399
Stifel
12/30/2022
FHLMC
AA+
9/30/2024
1.8 5.115%
5.115%
$5,000,000.00
11350
AC
11/25/2019
Apple
AA+
9/11/2024
4.8 1.929%
1.929%
$1,000,000.00
11357
MB
12/12/2019
Apple
AA+
9/11/2024
4.8 1.966%
1.966%
$2,250,000.00
11354
Stifel
11/7/2019
San Mateo
Aaa
9/1/2024
4.8 1.737%
1.737%
$280,000.00
Annualized Yield / Totals 4.212% $20,530,000.00
2 City of Torrance, California
Investment Report Summary Notes
For the Month of:
September
2024
2024
`
Prepared
by
the
Office of the Treasurer
for the Investment Advisory Committee
requirements for the next six (6) months. Over the next 6 months, cash, cash equivalents (LAIF , CAMP, Sweep Money Market ) and projected inflows exceed projected cash outflows by $164.8M.
Investment Comparison to Benchmark
As stated above for the month of September, the City's portfolio yielded 4.489%. The 1- year and 2 -year U.S. Constant Maturing Treasury (CMT) is at 3.98% and 3.66%, respectively. The City's portfolio has a current average maturity of 434 days or 1.19 years. $ 20.2
$ 78.0
Money Market Account as of September 30, 2024 $ 41.6
Cash Inflows $ 229.5
Cash Outflows $ 204.5
Projected Cash/Liquidity Balance $ 164.8
Cash Activity/Balances projected over the next 6 months (millions):
Cash Balance as of September 30, 2024
CAMP/LAIF Balance as of September 30, 2024
3 Investment Report
September 2024
Portfolio Highlights
Purchases/Deposits*
Maturities/Redemptions*
INCOME
*Includes LAIF/CAMP and MMA activity
**Transaction count does not include LAIF/CAMP or MMA activity Fiscal Year to Date
Current Month
MATURITY
$97,696,804.28
Prior Month
$2,311,390.31
$1,159,351.94
480
1.19 $95,530,000.00
Total Volume ($)* # of Transactions**
7 Prior MonthRETURN
City Portfolio YTM
U.S. Treasury Constant Maturity (2 year)
CAMP Monthly Return
Current Month
4.482%
3.910%
5.410%
4.489%
3.660%
5.290%
LAIF Monthly Return 4.575% 4.579%
0 Prior Month
VOLUMES
Current Month
434Days to Maturity
Average Maturity (Years) 1.32
880
5.200%
870Days to Maturity (Prior Year)
$3,448,596.36
4.830%Sweep Money Market Monthly Return
Current Month
$1,142,367.23
4 Investment Report
September 2024
Portfolio Monthly Activity Detail
Purchases Broker Purchase
Date Description NRSRO
Rating
Maturity
Date Term (YR) Coupon (%) YTM 365 (%) Par Value ($) Book Value ($) None
Maturities/
Calls/Sales
Broker Purchase Date Description NRSRO
Rating
Maturity/Call/
Sale Date
Days Held/Days
to
Maturity/Sale
Coupon (%) YTM 365 (%) Par Value ($) Book Value ($)
11348 WB 10/9/2019 FFCB AA+ 9/17/2024 4.9 1.455% 1.455% $2,000,000.00 $2,000,000.00 11397 Stifel 12/29/2022 FHLB AA+ 9/29/2024 1.8 4.990% 4.990% $5,000,000.00 $5,000,000.00 11398 Stifel 12/30/2022 FHLMC AA+ 9/30/2024 1.8 5.240% 5.240% $5,000,000.00 $5,000,000.00 11399 Stifel 12/30/2022 FHLMC AA+ 9/30/2024 1.8 5.115% 5.115% $5,000,000.00 $5,000,000.00 11350 AC 11/25/2019 Apple AA+ 9/11/2024 4.8 1.929% 1.929% $1,000,000.00 $1,000,000.00 11357 MB 12/12/2019 Apple AA+ 9/11/2024 4.8 1.966% 1.966% $2,250,000.00 $2,250,000.00 11354 Stifel 11/7/2019 San Mateo AA+ 9/1/2024 4.8 1.737% 1.737% $280,000.00 $280,000.00 Annualized Yield / Totals 4.212% $20,530,000.00 $20,530,000.00 B
eginning Balance
Coupon ( % )
Yield (%)
Montly Interest
Earned ($)
$44,106,405.75 4.830% 4.830% $150,296.88
Beginning Balance Coupon (%) Yield (%) Quarterly Interest Earned ($)
$11.21 4.575% 4.575% $0.00
Beginning Balance Coupon (%) Yield (%) Monthly Interest Earned ($)
$52,792,187.60 5.290% 5.290% $249,641.45CAMP Pool $50,000,000.00 $25,000,000.00 $78,041,829.05 LAIF
General
Withdrawals ($)
$0.00
Withdrawals ($)
$0.00
Deposits ($)
US Bank
Ending Balance ($)
$41,553,568.58
Ending Balance ($)
$11.21
Ending Balance ($)
Money Market
Deposits ($)
Deposits ($)
$47,296,865.95
Withdrawals ($)
$50,000,000.00
CAMP
6 Investment Report
September 2024
Portfolio Performance
4.47%
Portfolio Earnings Summary
Notes :
As long as a bond is held to maturity there will be no capital loss or gain to report. (590,884.07)
$942,874.08
Total Capital Gains or Loss (Unrealized)
$5,899,988.57
Adjusted by Premiums/Discounts represents the premium or discount cost involved to secure higher or lower yield securties. The cost of the premium or discount is amoritized down or up respectively to par over the life of the bond until reaching maturity. By amortizing, the amount of taxable interest is reduced for each year the city owns the bond. This is because the amortized premium or discounts offsets the ordinary income of the coupon payment. *Accrued Interest: Interest that has accumulated between the most recent payment and the sale of a bond or other fixed-income security. At the time of sale, the buyer pays the seller the bond's price plus "accrued interest," calculated by multiplying the coupon rate by the fraction of the coupon period that has elapsed since the last payment. (If a bondholder receives $40 in coupon payments per bond semiannually and sells the bond one-quarter of the way into the coupon period, the buyer pays the seller $10 as the latter's proportion of interest earned.) CD/Coupon/Discount Investments:
Interest Collected
$698,278.28
Plus Accrued Interest* at End of Period
$863,073.37
1,998,832.23
244,595.80
(2,163,627.32)
75,706.00
0.00 75,706.00
0.00 $773,984.28
232,558.37
41,483.15
(29,445.72) (92,064.83) 938,862.78
$5,840,028.29
650,844.35
(590,884.07)
$4,961,125.79
989,444.46
41,483.15
$4,520,549.79
1,998,829.13
(1,618,213.41)
$4,901,165.51
650,844.35
Plus Accrued Interest at End of Period
Total Earnings this Period
Less Accrued Interest* at Beginning of Period
Interest Earned during this Period
Adjusted By Premiums/Discounts
Adjusted by Capital Gains or Losses (Unrealized)
Earnings during Periods
Cash/Checking Accounts:
Less Interest at Beginning of Period
Interest Earned this Period
Total Interest Earned
Total Adjustments from Premium and Discounts
Interest Collected
$1,018,580.08
0.1%
0.4%
0.7%
1.0%
1.3%
1.6%
1.9%
2.2%
2.5%
2.8%
3.1%
3.4%
3.7%
4.0%
4.3%
4.6%
4.9%
5.2%
5.5%
Yield %
Constant Maturity Treasury - 2 Year (Benchmark) LAIF Monthly City Yield 7 Investment Report
September 2024
4.47%
Maturity Distribution
2.94% 2.92%
21.00%
15.44%
2.90%
20.51%
33.16%
16.62%
14.52%
20.21%
27.18%
19.35%
9.16%
4.94%
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
35.0%
August
September
Duration to Maturity (%)
1 to 30 Days 31 Days to 6 Months 6 Months to 1 Year 1 Year to 2 Years 2 Years to 3 Years 3 Years to 4 Years 4 Years to 5 Years NOTE: SB 564 passed in 1995, effective February 1, 1996, requires that local agencies submit a quarterly report to the legislative body containing detailed information on all securities, investments, and monies of the local agency was eliminated by AB 2853 on September 29, 2004 .
CA GC
§
53646(b)(3) requires a statement of compliance of the portfolio with the statement of investment policy and a statement of the local agency’s ability to meet the expenditure requirements of the pool for the next six months. We are in compliance with the section. 8 Investment Report
September 2024
Portfolio Distribution
Federal Agencies Distribution Assigned Credit Ratings of Investments (Total Portfolio) Portfolio Sectors (Book Value)
52.14%
31.90%
13.13%
2.82% Federal Farm Credit Bank
Federal Home Loan Bank
Federal Home Loan Mortgage Co
Federal National Mort Assoc
$78,041,829
$8,503,912
$106,526,171
$28,163,613
$44,847,889
$41,553,569
$346,574
-
20,000,000.00
40,000,000.00
60,000,000.00
80,000,000.00
100,000,000.00
120,000,000.00
CAMP
Negotiable CDs
Federal Agency
Securities
Treasury Securities
Medium-Term
Notes/Corps
Money Market Sweep
Municipal Bonds
34.44%
34.55%
14.80%
2.76%
13.44%
AAA/Aaa/AA3
AA+
AA-
FDIC
A-1
9 YTM
Par Value Book Value
Maturity
Date
Stated
RateMarket Value
September 30, 2024
Portfolio Details - Investments
Average
BalanceIssuer
Portfolio Management
Deputy Treasurer Monthly Reports
Days to
MaturityS&PCUSIP Investment #
Purchase
Date
Local Agency Investment Funds
4.575Local Agency Invest Fund GEN'L10000 11.21 11.21 4.57507/01/2022 11.21 LAIFSYS10000 1
11.2111.2111.2111.21Subtotal and Average 4.575 1
Money Market Sweep Account
4.830US Bank10001 41,553,568.58 41,553,568.58 4.83007/01/2022 41,553,568.58 A-1316175108 1 41,553,568.5841,553,568.5841,553,568.5843,454,571.71Subtotal and Average 4.830 1 Federal Agency Issues - Coupon
4.120FEDERAL FARM CREDIT BANK11381 13,000,000.00 12,742,894.39 09/15/20273.37510/07/2022 12,910,170.00 AA+3133ENL99 1,079
4.322FEDERAL FARM CREDIT BANK11383 10,000,000.00 9,993,208.11 09/30/20254.25010/07/2022 10,022,200.00 AA+3133ENP95 364
4.300FEDERAL FARM CREDIT BANK11384 10,000,000.00 9,995,282.48 09/30/20254.25010/07/2022 10,022,200.00 AA+3133ENP95 364
4.125FEDERAL FARM CREDIT BANK11385 10,000,000.00 9,966,156.09 09/29/20274.00010/07/2022 10,106,100.00 AA+3133ENQ29 1,093
4.300FEDERAL FARM CREDIT BANK11386 10,000,000.00 9,995,282.48 09/30/20254.25010/07/2022 10,022,200.00 AA+3133ENP95 364
5.350FEDERAL FARM CREDIT BANK11419 850,000.00 850,000.00 04/05/20285.35004/05/2023 850,093.50 AA+3133EPFA8 1,282
5.230FEDERAL FARM CREDIT BANK11421 2,000,000.00 2,000,000.00 04/12/20275.23004/12/2023 2,000,020.00 AA+3133EPFC4 923
0.871FEDERAL HOME LOAN BANK11363 2,500,000.00 2,500,123.05 11/26/20250.87506/14/2021 2,412,900.00 AA+3130AMKK7 421
0.800FEDERAL HOME LOAN BANK11364 1,000,000.00 1,000,000.00 09/29/20250.80006/29/2021 971,040.00 AA+3130AMSY9 363
0.800FEDERAL HOME LOAN BANK11365 1,000,000.00 1,000,000.00 09/29/20250.80006/29/2021 971,040.00 AA+3130AMSY9 363
0.800FEDERAL HOME LOAN BANK11366 1,000,000.00 1,000,000.00 09/29/20250.80006/29/2021 971,040.00 AA+3130AMSY9 363
1.141FEDERAL HOME LOAN BANK11369 2,500,000.00 2,499,848.48 10/25/20241.05001/25/2022 2,494,000.00 AA+3130AQHL0 24
1.542FEDERAL HOME LOAN BANK11372 5,000,000.00 5,000,000.00 10/28/20252.00001/28/2022 4,930,100.00 AA+3130AQMQ3 392
1.633FEDERAL HOME LOAN BANK11375 3,000,000.00 2,999,638.22 11/18/20251.62502/18/2022 2,922,300.00 AA+3130AQPP2 413
1.477FEDERAL HOME LOAN BANK11377 1,000,000.00 999,951.57 08/01/20252.12502/22/2022 984,130.00 AA+3130AQSG9 304
4.214FEDERAL HOME LOAN BANK11380 7,000,000.00 7,004,470.30 09/11/20264.25010/07/2022 7,072,450.00 AA+3130ATHV2 710
6.052FEDERAL HOME LOAN BANK11413 3,000,000.00 3,000,000.00 02/24/20286.25002/28/2023 2,999,250.00 AA+3130AUWT7 1,241
4.816FEDERAL HOME LOAN BANK11414 2,000,000.00 1,994,789.97 06/30/20274.70003/30/2023 1,997,580.00 AA+3130ASH44 1,002
4.748FEDERAL HOME LOAN BANK11467 5,000,000.00 4,984,525.98 06/11/20274.62505/24/2024 5,129,850.00 AA+3130B1EF0 983
5.250FEDERAL HOME LOAN MORTGAGE CO11404 3,000,000.00 3,000,000.00 01/28/20285.25001/30/2023 2,997,030.00 AA+3134GYEW8 1,214
5.200FEDERAL HOME LOAN MORTGAGE CO11406 2,000,000.00 2,000,000.00 01/26/20285.20001/30/2023 1,998,900.00 AA+3134GYGB2 1,212
5.050FEDERAL HOME LOAN MORTGAGE CO11409 3,000,000.00 3,000,000.00 02/10/20255.05002/10/2023 2,998,200.00 AA+3134GYGK2 132
5.005FEDERAL HOME LOAN MORTGAGE CO11411 3,000,000.00 3,000,000.00 11/22/20245.00002/22/2023 3,000,330.00 AA+3134GYGJ5 52
5.555FEDERAL HOME LOAN MORTGAGE CO11422 3,000,000.00 3,000,000.00 04/17/20285.55504/19/2023 3,000,960.00 AA+3134GYPG1 1,294
5.004FEDERAL NATIONAL MORT ASSOC11407 3,000,000.00 3,000,000.00 04/28/20255.00001/30/2023 2,998,050.00 AA+3135GAEK3 209 106,526,171.12106,782,133.50106,850,000.00121,921,270.97Subtotal and Average 4.020 666 Treasury Securities - Coupon
0.677U.S.TREASURY NOTE11361 2,500,000.00 2,488,644.82 10/31/20250.25005/28/2021 2,403,225.00 N/A91282CAT8 395
1.428U.S.TREASURY NOTE11370 1,000,000.00 988,124.86 11/30/20250.37501/25/2022 960,510.00 N/A91282CAZ4 425 Portfolio CITY
APData Updated: : 10/03/2024 17:39
Run Date: 10/03/2024 - 17:39 PM (PRF_PM2) 7.3.11
Report Ver. 7.3.11
11 YTM
Par Value Book Value
Maturity
Date
Stated
RateMarket Value
September 30, 2024
Portfolio Details - Investments
Average
BalanceIssuer
Portfolio Management
Deputy Treasurer Monthly Reports
Days to
MaturityS&PCUSIP Investment #
Purchase
Date
Treasury Securities - Coupon
1.223U.S.TREASURY NOTE11371 2,000,000.00 1,998,861.28 11/15/20240.75001/25/2022 1,990,020.00 N/A91282CDH1 45
1.330U.S.TREASURY NOTE11373 3,000,000.00 2,997,899.96 11/15/20240.75002/02/2022 2,985,030.00 N/A91282CDH1 45
3.909U.S.TREASURY NOTE11388 5,000,000.00 4,907,409.36 02/28/20262.50012/16/2022 4,911,700.00 N/A9128286F2 515
4.221U.S.TREASURY NOTE11390 5,000,000.00 4,988,461.96 11/15/20242.25012/22/2022 4,984,000.00 N/A912828G38 45
3.900U.S.TREASURY NOTE11391 5,000,000.00 4,814,668.66 11/15/20262.00012/22/2022 4,834,000.00 N/A912828U24 775
4.245U.S.TREASURY NOTE11392 5,000,000.00 4,979,542.51 11/15/20240.75012/22/2022 4,975,050.00 N/A91282CDH1 45 28,163,613.4128,043,535.0028,500,000.0028,145,363.73Subtotal and Average 3.184 296 Medium Term Notes
4.399BANK OF NEW YORK11445 3,000,000.00 2,947,442.68 04/28/20283.85005/18/2023 2,982,420.00 A06406RAH0 1,305
4.965Citigroup/Smith Barney11461 5,709,000.00 5,877,054.15 09/29/20285.80301/09/2024 6,043,376.13 A+17325FBB3 1,459
4.791Citigroup/Smith Barney11463 2,000,000.00 2,071,598.08 09/29/20285.80302/12/2024 2,117,140.00 A+17325FBB3 1,459
5.540JPMORGAN11460 3,600,000.00 3,468,040.27 06/15/20263.20010/10/2023 3,547,224.00 A146625HRS1 622
4.737Mercy Heathcare11464 3,390,000.00 3,340,554.09 07/01/20284.30202/12/2024 3,390,440.70 A+58942HAC5 1,369
5.130META Platforms11459 3,000,000.00 2,949,132.18 05/15/20284.60010/10/2023 3,077,280.00 A130303M8L9 1,322
4.911Pacific Life Global11462 4,200,000.00 4,198,248.93 01/11/20294.90002/08/2024 4,303,656.00 AA-6944PL2Z1 1,563
4.970Pacific Life Global11465 1,900,000.00 1,933,898.95 07/18/20285.50003/28/2024 1,978,033.00 AA-6944PL2U2 1,386
4.889Prime Alliance Bank11466 5,000,000.00 5,106,381.72 12/08/20285.46703/28/2024 5,228,000.00 AA-74368CBV5 1,529
1.974Toyota Motor Credit Corp11356 3,000,000.00 3,000,012.31 10/07/20242.00011/22/2019 2,998,470.00 AA-89236TGL3 6
5.051US Bank11439 5,000,000.00 4,956,545.45 01/21/20252.05005/16/2023 4,957,000.00 A+90331HPL1 112 39,848,908.8140,623,039.8339,799,000.0040,925,500.50Subtotal and Average 4.728 1,097 CAMP
5.290CAMP10002 78,041,829.05 78,041,829.05 5.29007/11/2023 78,041,829.05SYS10002 1 78,041,829.0578,041,829.0578,041,829.0557,800,508.98Subtotal and Average 5.290 1 Municipal Bonds
4.554Napa Valley USD11423 105,000.00 96,404.88 08/01/20271.34204/21/2023 98,139.30 N/A630362ES6 1,034
4.387Ponoma USD11424 270,000.00 250,169.41 08/01/20271.51604/21/2023 253,953.90 N/A732098PH5 1,034 346,574.29352,093.20375,000.00346,170.20Subtotal and Average 4.434 1,034 Negotiable CD
1.952Third Federal Savings and Loan11355 245,000.00 245,000.00 11/25/20241.95011/25/2019 243,907.30 FDIC88413QCK2 55
5.003Alliant Credit Union11396 245,000.00 245,000.00 12/30/20275.00012/30/2022 254,452.10 FDIC01882MAC6 1,185
4.973B1BANK BATON11447 245,000.00 245,000.00 11/19/20244.95005/19/2023 245,080.85 FDIC098079AR7 49
4.404BANK FIVE NINE11434 245,000.00 245,000.00 05/12/20274.40005/12/2023 248,655.40 FDIC062119BU5 953
5.023Bank Hapoalim BM NY11446 243,000.00 243,000.00 11/19/20245.00005/19/2023 242,948.97 FDIC06251A5M8 49
4.799BMO HARRIS C11426 243,000.00 243,000.00 05/09/20254.80005/09/2023 243,476.28 FDIC05600XQA1 220 Portfolio CITY
APData Updated: : 10/03/2024 17:39
Run Date: 10/03/2024 - 17:39 PM (PRF_PM2) 7.3.11
12 YTM
Par Value Book Value
Maturity
Date
Stated
RateMarket Value
September 30, 2024
Portfolio Details - Investments
Average
BalanceIssuer
Portfolio Management
Deputy Treasurer Monthly Reports
Days to
MaturityS&PCUSIP Investment #
Purchase
Date
Negotiable CD
0.546BMW Bank of No America #3514111362 200,000.00 199,912.21 09/25/20250.50006/24/2021 193,340.00 FDIC05580AXF6 359
5.073Bank of Baroda #3368111436 243,000.00 243,000.00 11/15/20245.05005/15/2023 242,956.26 FDIC06063HQL0 45
4.856California Credit Union11394 245,000.00 245,000.00 12/27/20244.85012/27/2022 244,948.55 FDIC130162AQ3 87
4.504Capital One#429711440 243,000.00 243,000.00 05/17/20274.50005/17/2023 247,092.12 FDIC14042RVT5 958
1.449CBC Fed Credit Union11374 245,000.00 245,000.00 08/18/20251.45002/18/2022 239,360.10 FDIC12481GAW7 321
1.852CELTIC BANK11351 245,000.00 245,000.00 11/27/20241.85011/27/2019 243,897.50 FDIC15118RTC1 57
4.807CIBC BK USA11438 243,000.00 243,000.00 05/16/20254.80005/16/2023 243,520.02 FDIC12547CBG2 227
4.704CIT Bank11401 245,000.00 245,000.00 01/06/20264.70001/06/2023 247,388.75 FDIC20416TAX0 462
4.404Comenity Capital Bank11431 245,000.00 245,000.00 05/10/20274.40005/10/2023 248,648.05 FDIC597338AJ1 951
4.680COMMUNITY BK11441 245,000.00 245,000.00 11/18/20244.90005/17/2023 245,098.00 FDIC20349RBZ0 48
4.605COMMUNITY FI11448 245,000.00 245,000.00 05/19/20264.60005/19/2023 247,888.55 FDIC20368TDL1 595
4.857CROSS RIVER11449 243,000.00 243,000.00 05/19/20254.85005/19/2023 243,614.79 FDIC227563CJ0 230
4.555Discover Bank #564911430 243,000.00 243,000.00 05/11/20264.55005/10/2023 245,507.76 FDIC2546734T0 587
4.555GULF CAP BK11442 243,000.00 243,000.00 05/17/20264.55005/17/2023 245,546.64 FDIC40219MAG9 593
4.800Medallion Bank Salt Lake City11452 245,000.00 245,000.00 05/22/20254.80005/22/2023 245,710.50 FDIC58404DSD4 233
4.604Morgan Stanley Bank11432 243,000.00 243,000.00 05/10/20274.60005/10/2023 247,660.74 FDIC61690U5T3 951
5.457Peoples United Bank11415 243,000.00 243,000.00 03/30/20285.45003/30/2023 243,364.50 FDIC712303BF2 1,276
1.852Raymond James BK11352 245,000.00 245,000.00 11/26/20241.85011/26/2019 243,853.40 FDIC75472RAN1 56
5.074CHARLES SCHWAB11433 243,000.00 243,000.00 11/05/20245.05005/11/2023 243,075.33 FDIC15987UBR8 35
4.505SOUTHERN STS11427 245,000.00 245,000.00 05/11/20264.50005/09/2023 247,457.35 FDIC843879EC7 587
4.505SOUTHERN STS11443 245,000.00 245,000.00 05/15/20264.50005/17/2023 247,479.40 FDIC843383CR9 591
4.655SOUTHERN FIR11453 245,000.00 245,000.00 05/26/20264.65005/26/2023 248,131.10 FDIC84287PHR6 602
5.022SYNOVUS BK C11450 243,000.00 243,000.00 12/19/20245.00005/19/2023 243,114.21 FDIC87164DWC0 79
4.973TRANSPORTATI11451 245,000.00 245,000.00 11/19/20244.95005/19/2023 245,080.85 FDIC89388CGQ5 49
4.454UNIVEST NATL BK11435 245,000.00 245,000.00 05/12/20274.45005/12/2023 248,959.20 FDIC91527PBX4 953
4.395BANK UTAH OGDEN11429 245,000.00 245,000.00 05/11/20264.50005/10/2023 247,457.35 FDIC065427AE6 587
4.803Valley Strong11393 245,000.00 245,000.00 06/23/20254.80012/23/2022 245,950.60 FDIC920133AK1 265
5.023WASHINGTON TRUST11444 243,000.00 243,000.00 11/18/20245.00005/17/2023 243,082.62 FDIC940637QZ7 48
5.022Wells Fargo Bank11428 245,000.00 245,000.00 11/12/20245.00005/09/2023 245,120.05 FDIC949764CD4 42 8,503,912.218,542,825.198,504,000.008,503,908.67Subtotal and Average 4.325 411 Non-US Corporate Bond
4.905Australia National Bank11457 5,000,000.00 4,998,980.61 06/13/20284.90007/19/2023 5,132,400.00 AA-63253QAE4 1,351 4,998,980.615,132,400.005,000,000.004,998,969.52Subtotal and Average 4.905 1,351 Portfolio CITY
APData Updated: : 10/03/2024 17:39
Run Date: 10/03/2024 - 17:39 PM (PRF_PM2) 7.3.11
13 YTM
Par Value Book Value
Stated
RateMarket Value
September 30, 2024
Portfolio Details - Investments
Average
BalanceIssuer
Portfolio Management
Deputy Treasurer Monthly Reports
Days to
MaturityS&PCUSIP Investment #
Purchase
Date
306,096,275.47 308,623,408.84 4.489 434309,071,435.56 307,983,569.29Total and Average Portfolio CITY
APData Updated: : 10/03/2024 17:39
Run Date: 10/03/2024 - 17:39 PM (PRF_PM2) 7.3.11
14 Notes to Investment Report
1. REPORTING
ENTITY
City of Torrance was established May 31, 1921 and adopted a city charter form of government on January 7,
1947.
Under City Charter section
630 CITY TREASURER.
It
shall
be
the duty of the City Treasurer to receive and
safely keep all moneys which shall come into his/her hands as
City Treasurer. He/S he shall comply with
all
provisions of law
governing the deposit and securing of public funds.
He/She shall
also comply with
all
the provisions of the general
laws of the State governing the handling of such trust funds as
may
come
into his/her possession.
He/She shall pay
out moneys only on warrants s igned by persons
designated by law, or ordinance, as
the proper persons to sign warrants and as
to trust funds which may
come
into his/her possession or control by virtue of some law, ordinance or resolution, by warrant or other order,
in accordance with the provisions of such law, ordina nce or resolution. He/She shall at regular intervals, at least once each month, submit to the Director of Finance
a written report and
accounting of all
receipts, disbursements and fund balances, a copy of which report he/she shall
file
with
the City Council.
The City Treasurer
may
appoint a deputy, or depu ties, from an eligible list to be prepared in accordance with the proceedings prescribed
in the civil service system of the City,
such deputy or deputies to
receive such compensation as
may
be
provided by the City Council. (Ratified Gen. Mun. Elec.
4/10/56,
Amend. No. 8; Approved by State Le gislature Concurrent Res. No. 3 on 1/9/57).
2. BASIS
FOR REPORTING
This Investment Report has been prepared in accordance with the State of California Government Code §53600 and City of Torrance Investment Policy as
noted in the City Charter.
The
City of Torrance
Investment
Policy is approved
and adopted annually by City Council. The Investment
Policy is annually
submitted by the City Trea surer to the Investment Advisory Committee for review before being forwarded to the City Council.
The
investment Advisory Committee
is made
up of City Treasurer,
City
Manager, City Attorney, Finance Director, and Deputy City Treasurer.
3. ASSUMPTIONS
The Investment Report represents a specific snapshot in time and is compared to other market performers
during that same
period which includes but
is not limited to: Constant Maturing Treasury 2‐
year term rates, Local
Agency Investment Fund (State of California), and prior year performance.
All
investment activity calculations are results from Sy mPro portfolio management software v7.3.6.
Adjusted by Premiums/Discounts represent the premium/discount cost involved to secure higher or lower
yield securities. The cost of the premium or discount is amortized down or up to par over the life
of the bond until reaching maturity. By amortizing, the amount
of taxable
interest
is reduced for each
year the ci
ty owns the bond.
This is because the amortized premium or discount
offsets the ordinary
income of the coupon payment.
There
is no capital
loss or gain
to report if bonds are kept to maturity.
15 Notes to Investment Report
4. COMPLIANCE
The Investment Report is required to be submitted to City Council on a monthly basis. State of California statutes requires quarterly reporting. GASB 31
section requires market changes be
booked annually but
reported monthly as
part of this report.SB 564 requires quarterly reporting to the legislative
body.
5. LAIF RISK
LAIF statute §16429.3 Deposits; prohibited transfers and loans; impoundment or seizure:
Moneys placed
with the Treasurer for deposit in the Local
Agency Investment Fund by cities, counties,
special districts,
nonprofit corporations, or qualified quasi‐
governmental
agencies shall
not be subject to
either of the following:
a. Transfer or loan pursuant to Section
163 10, 16312, or16313.
b. Impoundment or seizure by any
state official
or state agency
LAIF statute §16429.4 Right
of withdrawal:
The right of a city, county, city and county, special district, nonprofit corporation, or qualified quasi‐ governmental agency to withdraw its deposited moneys from the Local
Agency Investment
Fund, up on
demand, may not be
altered, impaired, or denied, in any
way,
by any state official
or state agency based
upon
the state’s failure to adopt a State Budget by July 1 of each new fiscal year.
Additional information about LAIF
may
be found on the California State Treasurer Website:
http://www.treasurer.ca.gov/pmia‐
laif/answer/laifstatutes.asp
16 Glossary
ACCRUED INTEREST. Interest that has accumulated between the most recent payment and the sale of a bond or other fixed
‐
income
security. At the time of sale,
the buyer pays the seller the bond's price
plus "accrued interest," calculated
by multiplying the coupon rate by the fraction of the coupon period tha t has elapsed since the last payment. (If a bondholder receives $40 in coupon payments per bond semiannually and sells the bond one‐
quarter
of the way into the
coupon period, the buyer pays the seller $10 as
the latter's proportion of interest earned.)
AGENCIES. Also referred to as
Federal
Agencies or Fe d Agencies and include such organizations or enterprises as the:
Federal
Home Loan Bank (FHLB),
Federal
Home
Loan Mortgage
Corporation (FHLMC), Federal Farm Credit Banks (FFCB),
and Government
National Mortgage Association
(GNMA).
See FEDERAL AGENCIES or the specific
organization/enterprise in this glossary
for additional information.
AMORTIZATION. The spreading out of capital
e xpenses for intangible assets over a specific period of time (usually over the asset's useful life) for accounting and tax purposes. Amortization
is similar to depreciation, which is used
for tangible
assets,
and to depletion, which is used with natural
resources.
ASKED. The price at which securities are offered.
BANKER'S
ACCEPTANCE ("BA"
). A
draft, bill, or exchange
accepted by a bank
or a trust company. Both the issuer and the
accepting institution guarantee payment of the bill.
BASIS POINT. Common unit
of measure used
for expressing changes in
interest
rates; one basis point
equates to 1/100th
of 1%. (i.e. 0.1% equals 10 basis points.)
BID. The price offered by a buyer of securities (when one sells securities,
one asks for a bid). See
"Offer".
BOND.
Bonds
are commonly referred to as
fixed
‐
income
securities and are one of the three main
generic asset classes,
along with stocks (e quities) and cash equivalents. Many corporate and government bonds are publicly traded on exchanges, while
others are traded only over‐
the
‐counter (OTC).
BROKER. A broker is an individual or firm that charges a fee or commission for executing buy and sell orders submitted by an investor. It is also the role of a firm when it acts as an agent for a customer and charges the customer a commission for its services.
BULLET BOND. Bullet Bonds are non‐callable bonds, which cannot be
redeemed early by the issuer.
CALLABLE BOND. A
bond that can be redeemed by the issuer earlier
than the bond’s maturity date. Callable
bonds with
specific details as
to when the bond may be
called back
are noted. Embedded options attached to callable bonds detail how
the issuer may
“call” back the security. Th
ree
forms of embedded options for callable bonds are:
American Option
:
Bond may
be called
back by the issuer at any
time
after the lockout period
expires. (continuously callable)
Bermudian Option: The issuer has the right to call the bond on the p redetermined interest payment dates only.
European
Option: Allows the holder to exercise the option (i.e. to buy) only on the option expiration date.
1X: One time
callable only
6M: Callable
only after
predetermined 6 month
lockout period.
CERTIFICATE OF DEP OSIT ("CD"). A time deposit with a specific maturity, as evidenced by a certificate. Large‐ 17 Glossary
denomination CDs are typically negotiable. A certificate of deposit (CD) is a savings certificate entitling the bearer to receive interest. A CD
bears a maturity date, a specified
fixed interest rate and can be issued in
any denomination. CDs
are generally issued by commercial banks and are insured
by the FDIC. The ter m of a CD generally ranges from one month to five years.
COLLATERAL. Securities, evidence of deposit, or other property which
a borrower pledges to secure repayment of a loan.
Also refers
to securities pledged by a bank
to secure deposits of public monies.
COMPREHENSIVE ANNUAL FINANCIAL REPORT ("CAFR").
The official
annual rep ort for the City of Torrance. It includes
combined statements for each individual fund and account group, which are prepared in conformity with GAAP. It also includes supporting schedules that are necessary to demonstrate compliance
with finance
‐
related legal
and contractual
provisions, extensive introductory material, and a detailed statistical
section.
CORPORATE BOND/NOTES. A
deb
t security issued by a corporation
and sold to investors. The backing for the bond
is
usually the payment ability of the company, which is typically money to be
earned from future operations.
COUPON. The annual rate of interest that a bond's issuer promises to pay
the b ondholder on the bond's face value. It can
also be
a certificate attached to a bond, which evidences interest due on a payment date. The annual interest rate paid on a bond, expressed as
a percentage of the face value.
DEALER. A
dealer, as
opposed
to a broker, acts as
a principal in
all transactions, buying and selling
for his own accou nt.
DEBENTURE. A
bond secured only by the general credit of the issuer.
DELIVERY VERSUS PAYMENT.
There are two methods
of delivery of securities:
(1) delivery versus payment (DVP); and (2)
delivery
versus receipt (DVR). DVP is delivery of securities with an exchange
of money
for the securities. DVR is deliver y of
securities with an exchanged of a signed receipt for the securities.
DERIVATIVES.
(1)
Financial instruments that are linked to, or derived from,
the movement of one or more underlying
indexes or securities,
and may
include
a leveraging fac tor; or (2) financial contracts based upon a notional amount whose value is derived from an underlying index or security (e.g., interest
rates, foreign exchange rates, equities, or
commodities).
DISCOUNT.
The difference between the acquisition cost of a security and its value at maturity,
when quoted at lower
than face
value. A security that sells below original offering price shortly after sale
is also co nsidered to be at a
discount. In finance, discount refers to the condition of the price of a bond that
is lower
than par,
or face value. The
discount equals the difference between the price paid
for a security and th e security's par value.
DISCOUNT
SECURITIES. Non
‐
interest
bearing money
market instruments that are issued a discount and that are redeemed at maturity for full face value (e.g., U.S. Treasury Bills).
DIVERSIFICATION. Dividing investment funds among a variety of securities that offer
independent
returns.
FEDERAL AGENCIES. Special government organiza tions set up for a specific purpose such as the management of resources, financial oversight of industries or national security issues. These organizations are typically created by legislative
action, but may
initially be
set
up by a Presidential Order as
well. The directors of these agencies are
typically selected by Presidential appoi ntment. A number of these organizations issue securities such as stocks and bonds that have been historically popular with investors.
Agencies
of the Federal Government that were
established to supply credit to various classes of institutions and individuals (e.g., S&Ls, small business firms, 18 Glossary
students, farmers, farm cooperative, and exporters).
FEDERAL DEPOSIT
INSURANCE CORPORATION ("FDIC").
A
federal agency that
insures
bank deposits, currently up to $
250,000.00 per deposit.
FEDERAL FARM
CREDIT BANK (“FFCB”).
In
the United States, a network of federally‐
chartered
financial institutions
designed to provide credit‐related services to the agricultural and f arming sectors of the economy. In total, this government‐sponsored enterprise comprises approximately 100 financial institutions that serve all
50 states and
Puerto Rico
FEDERAL FUNDS
RATE.
The rate of interest at which Fed
funds are traded. This rate is currently pegged by the
Federal
Reserve through open‐
market
operations.
FEDERAL HO ME LOAN BANKS ("FHLB"). Government ‐ sponsored wholesale banks (currently 12 regional banks) which lend funds and provide correspondent banking services to member commercial banks, thrift institutions, credit unions, and insurance companies. The mission of the FHLBs is to liquefy the housing‐
related
assets of its member, who must
purchase stock in their District Bank. FH LB ‐ An organization created by the Federal Home Loan Bank Act of 1932 to increase the amount
of funds available for lending institutions who
provide mortgages and similar loan agreements to
individuals. This system was created in response to the depressive economic conditions of the era, which had im paired the U.S. banking system.
FEDERAL HOME
LOAN MORTGAGE CORP (“Freddie
Mac or FHLMC”). FHLMC
is a stockholder
‐
owned,
government‐
sponsored enterprise (GSE)
chartered by Congress in
1970 to keep money
flowing to mortgage lenders in support of
homeownership and rental housing for middle income Americans. The FHLMC purchases, gua rantees and securitizes mortgages to form mortgage‐
backed
securities. The mortgage‐backed securities that it issues tend to be very liquid and carry a credit rating
close to that of U.S. Treasuries.
FEDERAL NATIONAL MORTGAGE ASSOCIATION
(`FNMA").
FNMA, like GNMA, was charted
under the Federal
National
Mortgage Association
Act of 1938. FN MA is a federal corporation working under the auspices of the Department of Housing
and Urban Development (HUD). It is the largest single provider of residential
mortgage
funds in the United
States. Fannie Mae, as
the corporation
is called, is a private stockholder
‐
owned
corporation. The corporation's
purchases include a variety of adjustable mortgag es and second loans, in addition to fixed‐ rate mortgages. FNMA's securities are also highly liquid and are widely accepted. FNMA assures and guarantees that all
security holders will
receive timely payment of principal and interest. Fannie Mae is a publicly‐
traded
company which operates under a
congressional chart er that directs Fannie Mae to channel its efforts into increasing the availability and affordability of homeownership for low
‐
,
moderate
‐
and middle‐
income
Americans.
FEDERAL OPEN MARKET COMMITTEE
("FOMC"). The FOMC consist of seven members
of the Federal Reserve Board
and five of the 12
Federal
Reserve Bank Presidents. Th e President of the New York Federal Reserve Bank is a permanent member while the other Presidents serve on a rotating basis. The Committee periodically meets to set Federal
Reserve guidelines regarding purchases and sales of government securities in
the open market as
a means of
influencing the volume of bank cr edit and money.
FEDERAL RESERVE SYSTEM.
Also
known as “The Fed.” The central bank of the United States created by Congress and consisting of a seven‐
member
Board of Governors in
Washington, D.C., 12
regional banks, and about 5,700 commercial
banks that are members of the system.
GOVERNMENT NATIONAL MORTGAGE ASSOCIATI ONS ("GNMA" or "Ginnie Mae"). Securities that influence the volume of bank credit that is guaranteed by GNMA and issued
by mortgage bankers, commercial banks,
savings and loan
19 Glossary
associations, and other institutions. The full faith and credit of the U.S. Government protect a security holder. Ginnie Mae securities are backed by the FHA, VA,
or FMHM mortgages. The term "pass‐
through"
is often used to describe Ginnie
Maes.
GOVERNMENTAL ACCOUNTING
STANDARDS BOARD (“GASB”). An organization whose main
purpose is to improve an d
create accounting reporting standards or generally accepted accounting principles (GAAP). These standards make it easier for users to understand and use the financial records of both state and local governments. The Government
Accounting
Standards Board (GASB) is funded and monitored by the Financial Accounting
Foundation
(FAF).
IMPLIED RATING (“IMP”). Government Sponsored Enterprises ex: Federal Home Loan Bank, Federal Home Loan Mortgage Corp, Federal National Mortgage Association
each carrier
the rate of the US Treasury.
There are GSE that are
not officially rated by a credit
rating agency but
carry an implied rating because they are GSE. An example
of this is
Farmer
Mac.
LIQUIDITY. A Liquid asset is one that can be converted easily and rapidly into cash without a substantial loss of value. In the money
market,
a security is said
to be liquid if the spread between bid and asked prices is narrow,
and reasonable
size can be done at those quotes.
LOCAL AGENCY
INVESTMENT FUND ("LAIF"). Monies from local governmental units may
be remitted
to the California
State Treasurer
for deposit in
this special fund for the purpose of investment.
LOCKOUT (BOND FEATURE). The period of time when a security may
not be redeemed by the issuer.
MARKET VALUE. The price at which a security is tradi ng and could presumably be purchased or sold.
MASTER REPURCHASE AGREEMENT. A written contract covering all future transactions between the parties to repurchase‐
reverse
repurchase
agreements that establishes each party's rights in
the transactions.
A
master
agreement
will often specify, among other things, the right of the buyer (lender) to liquidate the underlying securities in
the event
of default by the seller (bo rrower).
MATURITY.
The date upon which the principal or stated value of an investment becomes due and payable.
Medium Term Notes
‐
A corporate note continuously offered by a company to investors through a dealer. Investors can choose from differing maturities, ranging from nine months to 30 years.
MONEY MARKET.
The market in w hich short‐ term debt instruments (e.g., bills, commercial paper, and banker's acceptances) are issued and traded.
NOT
RATED (“NR”). GSE (government sponsored enterprises) or any security that are not officially rated by a credit rating
agency.
OFFER. The price asked by a seller of securities (when
one buys securities,
one asks for an offer). See '`Ask ed" and "Bid."
OPEN MARKET OPERATIONS. Purchases and sales of government and certain other securities in
the open market by the
New York Federal
Reserve Bank, as
directed by the FOMC in order to influence
the volume of money and credit in the
economy.
Purchases inject re serves into the bank system and stimulate growth of money and credit; sales have the opposite effect.
Open market operations are the Federal
Reserve's
most important and most flexible monetary
policy tool.
20 Glossary
PORTFOLIO. A collection of securities that an investor holds.
PREMIUM ‐ A
premium is the total cost of an option. The difference between the higher price paid
for a fixed‐
income
security and the security's face amount
at issue.
PRIMARY DEALER. A
group of government securities dealers that submit daily reports of mark et activity and positions, and monthly financial statements to the Federal Reserve
Bank
of New
York,
and are subject to its informal oversight.
Primary dealers
include Securities and Exchange Commission (SEC)
— registered securities broker‐
dealers,
banks, and a
few
unregulated
firms.
PRUDENT INVESTOR RULE. An investment standard. A
fiduciary, such as
a trus tee, may invest in a security if it is one that would
be
bought
by a prudent
investor acting in
like capacity, who is seeking reasonable
income and preservation of
capital.
QUALIFIED PUBLIC DEPOSITORIES. A
financial institution that: (1)
does not claim exemption from the payment of any
sales, compe
nsating use, or ad valorem taxes under the laws of this State; (2)
has segregated for the benefit of the
commission eligible collateral having a value of not less than its maximum
liability; and (3) has been approved
by the Public
Deposit Protections Commission to hold public
deposits.
RATE OF RET URN. The yield obtainable on a security based on its purchase price or it current market price.
REPURCHASE
AGREEMENT ("RP" OR "REPO"). A holder of securities sells them
to an investor with an agreement to
repurchase the securities at a fixed
price on a fixed
date. The security "buyer” in effect,
lends the "seller " money for the
period of the agreement, and the terms
of the agreement are structured to compensate him for this.
Dealers use RP
extensively to finance their positions.
Exception: when
the Fed
is said
to be
doing RP, it is lending money
(increasing bank
reserves).
SAFEKEEPING. A
service to customers r endered by banks for a fee whereby securities and valuables of all types and descriptions are held in the bank's vaults for protection.
SECONDARY MARKET.
A market made for the purchase and sale
of outstanding issues following the initial distribution.
SECURITIES AND EXCHANGE COMMISSION. An agency created by Congress to administer securities le gislation for the purpose of protecting investors in
securities transactions.
SEC
RULE 15c3
‐
1. See
"Uniform Net Capital
Rule." SEC Rule 15c3‐
1 requires broker‐
dealers
to maintain the following
minimum net capital requirements in
order to offer sufficient
protection for the firm's customers:
$250,000 for broker‐ dealers who conduct general securities business and carry customer funds and securities $50,000 for broker‐ dealers who introduce accounts to another broker‐ dealer on a fully disclosed basis, receive but
do not hold customer securities for delivery
to the clearing broker‐
dealer
and do not carry customer
accounts
$25,000 for broker‐ dealers that only handle mutual fund transactions and do not hold customer funds or securities
$5,000 for broker‐ dealers who do not directly or indirectly receive securities from customers (known as introducing brokers)
21 Glossary
STEP‐ UP BOND. A bond that pays an initial coupon rate for the first period, and then a higher coupon rate for the following periods.
A
step‐up bond
is one in
which subsequent future coupon payments are received at a higher, predetermined amount
than
previous or current periods.
These
bonds usually have a callabl e component.
STRUCTURED NOTES. Notes issued by instrumentalities (e.g., FHLB, FNMA,
SLMA) and by corporations, that have
imbedded options (e.g., call features,
step‐
up
coupons, floating rate coupons, derivative‐
based
returns)
in their debt
structure, The market performance of structured notes is affected
by fluctuating
interest rates; the volatil ity of
imbedded options;
and shifts in
the yield curve.
TAX AND REVENUE ANTICIPATION
NOTES (TRANs).
Notes issued in anticipation of receiving future tax receipts and revenues at a future
date.
TREASURY BILLS. A non‐
interest
‐
bearing
discount security that
is issued
by the U.S. Treasury to finance the national
debt. Mo
st T‐bills are issued to mature in three
months, six months, or one year.
TREASURY BONDS. Long‐
term,
coupon‐bearing U.S.
Treasury securities that
are issued as
direct obligations of the U.S.
Government, and having initial maturities of more than
10 years.
TREASURY NOTES. Medium‐
term,
coupon‐bearing U. S. Treasury securities that are issued as direct obligations of the U.S.
Government, and having initial maturities of two to 10 years. U S Notes ‐
A
treasury
note is a marketable U.S.
government
debt
security with a fixed interest rate and a maturity between one and 10
years. Treasury notes can be
bought
eithe r
directly from the U.S. government or through a bank.
UNIFORM NET CAPITAL RULE. SEC requirement that member
firms, as
well
as
non‐
member
broker‐
dealers
in
securities,
maintain a maximum ratio of indebtedness to liquid capital
of 15
to one.
Also called net capital rule and net capital ratio.
Indeb
tedness covers all money that is owed
to a firm, including margin loans and commitments to purchase securities (one reason that new public
issues are spread among members of underwriting syndicates). Liquid capital includes cash and assets easily converted
to cash.
YIELD. The rate of annual
income
return on an inves tment, expressed as a percentage. (a) INCOME YIELD is obtained by dividing the current dollar income by the current market price for the security. (b)
NET YIELD OR YIELD TO MATURITY is
the current income yield minus any
premium above par
or plus any
discount from par
in pur chase price, with the
adjustment spread over the period from the date of purchase to the date of maturity of the bond.
YIELD TO
MATURITY (YTM). The percentage rate of return paid
on a bond or note if the investor buys and holds it to its maturity date.
The calculation for YT M is based on the coupon rate, length of time to maturity, and market price. It assumes that coupon interest paid over the life of the bond will be
reinvested at the same rate.
Sources:
www.investopedia.com
www.thefreedictionary.com
www.msrb.org/glossary/definition/note.aspx
CALIFORNIA DEBT AND INVESTMENT ADVISORY COMMISSION (CDIAC) California Public Fund Investment Primer, December 2009
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