FROM: Robert Thompson, General Manager
Originator: Wally Ritchie, Director of Finance
SUBJECT:
title
TREASURER’S REPORT FOR THE FOURTH QUARTER ENDED JUNE 30, 2024
end
GENERAL MANAGER'S RECOMMENDATION
recommendation
RECOMMENDATION:
Receive and file the Orange County Sanitation District Fourth Quarter Treasurer’s Report for the period ended June 30, 2024.
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BACKGROUND
The fourth quarter treasurer’s report contains financial portfolio performance with respect to the Orange County Sanitation District’s (OC San) funds. Both Long-Term and Liquid Operating Monies Portfolios are summarized. A performance summary table can be found below. The report also contains information on the U.S. and global economic outlook from OC San’s investment manager, Insight Investment. Additionally, the Section 115 Trust quarterly performance report is included. The Section 115 trust is administered by Public Agency Retirement Services (PARS) and managed by PFM Asset Management and was established to prefund pension obligations.
RELEVANT STANDARDS
• Quarterly financial reporting
ADDITIONAL INFORMATION
The fourth quarter treasurer’s report for the period ended June 30, 2024 is being submitted in accordance with OC San’s investment policy that requires the report be submitted to the governing body following the end of each quarter and includes the following information:
• Performance results in comparison with the ICE BAML 3-month treasury bill index for the liquid operating portfolio; and the ICE BAML Corp./Govt. 1-5 Year Bond index for the long-term portfolio as identified in the investment policy; and the time-weighted total rate of return for the portfolio for the prior three months, six months, nine months, twelve months, and since inception compared to the Benchmark returns for the same periods:
Portfolio Performance Summary
As of June 30, 2024
|
|
Liquid Operating Monies (%) |
Long-Term Operating Monies (%) |
|
|
Total Rate of Return |
Benchmark |
Total Rate of Return |
Benchmark |
|
3 Months |
1.30 |
1.37 |
0.87 |
0.89 |
|
6 Months |
2.66 |
2.76 |
1.15 |
1.09 |
|
9 Months |
1.35 |
1.38 |
1.44 |
1.48 |
|
12 Months |
5.50 |
5.64 |
4.72 |
4.77 |
|
Annualized Since Inception |
2.52 |
2.27 |
3.72 |
3.58 |
• A listing of individual securities held at the end of each reporting period (see the detailed listings of each security contained within the report).
• Cost and market values of the portfolios:
Liquid Operating Long-Term
Cost $96.0 M $713.4 M
Market Value $96.2 M $693.3 M
• Modified duration of the portfolio compared to the Benchmark:
Liquid Operating Long-Term
OC San Policy < 0.50 < 5.00
Benchmark 0.16 2.60
Portfolio 0.18 2.48
• Dollar change in value of the portfolio for a one percent (1%) change in interest rates:
Liquid Operating - $173,872
Long- Term - $17,219,847
• None of the portfolios are currently invested in reverse repurchase agreements.
• The percent of the Liquid Operating Monies portfolio maturing within 90 days: 86.9%
• Average portfolio credit quality:
Liquid Operating - AA
Long- Term - AA
• Percent of portfolio with credit ratings below “A” by any rating agency and a description of such securities:
Liquid Operating - 0.70%
Long-Term - Percent of portfolio - 0.75%
|
|
Cost |
Maturity Date |
Moody |
S&P |
Fitch |
|
Truist Financial Corp |
$972,700.00 |
8/1/2024 |
Baa1 |
A- |
A- |
|
Virginia Electric Power Co |
$5,736,523.40 |
5/15/2027 |
A2 |
BBB+ |
A |
• All investments are in compliance with the investment policy and the California Government Code, except for the following Lehman Brother holdings that OC San is pursuing collection through the bankruptcy court:
Lehman Brothers Note-Defaulted $600,000 par value purchased 9/19/2008
Lehman Brothers Note-Defaulted $2,000,000 par value purchased 9/18/2008
• Sufficient funds are available for OC San to meet its operating expenditure requirements for the next six months.
CEQA
N/A
FINANCIAL CONSIDERATIONS
N/A
ATTACHMENT
The following attachment(s) may be viewed on-line at the OC San website (www.ocsan.gov) with the complete agenda package:
• Fourth Quarter Treasurer’s Report for the period ended June 30, 2024