HomeMy WebLinkAbout98.PowerPoint Presentation Investment PolicyCHANDLER ASSET MAN AGEMEN T
6225 Lusk Boulevard | San Diego, CA 92121 | Phone 800.317.4747 | Fax 858.546.3741 | www.chandlerasset.com
Period Ending
November 30, 2015
Orange County Sanitation District
Investment Report
Objectives
Chandler Asset Management Performance Objective
Liquid Operating Monies –will be compared to the 3-month T-Bill rate and operate with a maximum maturity
of one year.
Long-Term Operating Monies –will be compared to the Bank of America Merrill Lynch 1-5 Year Corporate
Government Rated AAA –A Index.
Investment Objectives
The investment objectives of the Orange County Sanitation District are first,to provide safety of principal to
ensure the preservation of capital in the overall portfolio;second,to provide sufficient liquidity to meet all
operating requirements;and third,to earn a commensurate rate of return consistent with the constraints
imposed by the safety and liquidity objectives.
Strategy
In order to achieve these objectives,the portfolio invests in high quality fixed income securities consistent
with the investment policy and California Government Code.
1
Table of Contents
Account Profile –Long Term Portfolio
Account Profile –Liquid Portfolio
SECTION 1
SECTION 2
2
SECTION 1
Account Profile –
Long Term Portfolio
3
Sector Distribution
4
Duration Distribution
5
Duration Distribution
6
Sector Distribution and Market Value –Long Term
200,000,000
250,000,000
300,000,000
350,000,000
400,000,000
450,000,000
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Supranational
US Corporate
Money Market Fund
Commercial Paper
Agency
ABS
US Treasury
Market Value
7
Issuers
8
Issuers Continued
9
Compliance
Category Standard Comment
Treasury Issues 5 years maximum maturity Complies*
Supranational "AA" or better by 1 of 3 NRSROs; 30% maximum; 5% max; 5 years maturity; Includes only: IADB, IBRD, and IFC per CGC Complies
U.S. Agencies 20% max issuer; 5 years maximum maturity Complies
U.S. Corporate (MTNs)"A" or better long term rating by 1 of 3 NRSROs; 30% maximum;
5% max issuer; 5 years max maturity
Complies*
Municipal Securities "A" or higher by 1 of 3 NRSROS; 10% maximum; 5% max issuer; 5 years maximum maturity Complies*
Asset Backed/ CMOs/
Mortgage-backed
"AA" or better by 1 of 3 NRSROs; "A" or higher issuer rating by 1
of 3 NRSROs; 20% maximum; 5% max issuer (excluding
MBS/govt agency); 5 years max maturity
Complies**
Negotiable CDs "A" or better on its long term debt by 1 of 3 NRSROs ; "A1/P1" or highest short term ratings by 1 of 3 NRSROs; 30% maximum; 5%
max issuer; 5 years max maturity
Complies
CDs/ TDS 5% max issuer; 5 years max maturity Complies
Banker’s Acceptances A-1, or equivalent highest short term rating by 1 of 3 NRSROS; 40% maximum; 5% max issuer; 180 days max maturity Complies
Commercial Paper A-1, or equivalent by 1 of 3 NRSROS; "A" or better by 1 of 3
NRSROs, if long term debt issued; 25% maximum; 5% max
issuer; 270 days max maturity
Complies
Money Market Fund Highest rating by 2 of 3 NRSROs; 20% maximum; 10% max issuer Complies
Repurchase Agreements 102% collateralization Complies
Reverse Repurchase
Agreements
5% maximum, 90 days max maturity Complies
LAIF Not used by investment adviser Complies
Avg Duration Not to exceed 60 months - (80% to 120% of the benchmark)Complies
Maximum Maturity 5 years maximum maturity Complies*
Orange County Sanitation District Long Term
November 30, 2015
COMPLIANCE WITH INVESTMENT POLICY
Assets managed by Chandler Asset Management are in full compliance with State law and with the investment policy
*The portfolio has twenty-eight (28) securities with maturities greater than 5 years including two (2) ABS, two (2) CMOs, twenty-one (21) MBS, one
(1) municipal, one (1) corporates and one (1) treasury. All securities were inherited from the previous manager and complied at time of purchase.
**There are two (2) ABS, two (2) CMO and all twenty-one (21) MBS positions with maturities over 5 years. Additionally, SVHE (CUSIP
83611MGS1) is rated A+/A respectively by S&P and Fitch whereas the policy requires AA or better by at least one NRSRO. These securities were
inherited from previous manager and complied at time of purchase.
10
Performance
(0.15)
0.22
0.75
(0.24)
0.12
0.91
(0.40)
(0.20)
0.00
0.20
0.40
0.60
0.80
1.00
Pe
r
c
e
n
t
(
%
)
Long Term Porformance as of 11/30/2015
Long Term Portfolio
BAML 1-5 Yr US Corporate/Govt Rated AAA-A Index
11
SECTION 3
Account Profile –
Liquid Portfolio
12
Sector Distribution
13
Duration Distribution
14
Duration Distribution
15
Sector Distribution and Market Value –Liquid Account
$0
$20,000,000
$40,000,000
$60,000,000
$80,000,000
$100,000,000
$120,000,000
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
US Corporate
Money Market Fund
Commercial Paper
Agency
US Treasury
Market Value
16
Issuers
17
Compliance
Category Standard Comment
Treasury Issues 1 year maximum maturity; Minimum allocation of 10%Complies
Supranational "AA" or better by 1 of 3 NRSROs; 30% maximum; 5% max; 1
year maturity; Includes only: IADB, IBRD, and IFC per CGC
Complies
U.S. Agencies 20% max issuer; 1 year maximum maturity Complies*
U.S. Corporate (MTNs)"A" or better long term rating by 1 of 3 NRSROs; 30% maximum; 5% max issuer; 1 year max maturity Complies
Asset Backed/ CMOs "AA" or better by 1 of 3 NRSROs; "A" or higher issuer rating by 1 of 3 NRSROs; 20% maximum; 5% max issuer; 1 year max maturity
Complies
Negotiable CDs "A" or better on its long term debt by 1 of 3 NRSROs ; "A1/P1" or highest short term ratings by 1 of 3 NRSROs; 30% maximum; 5% max issuer; 1 year max maturity
Complies
CDs/ TDS 5% max issuer; 1 year max maturity Complies
Banker’s Acceptances A-1, or equivalent short term rating by 1 of 3 NRSROS; 40%
maximum; 5% max issuer; 180 days max maturity
Complies
Commercial Paper A-1, or equivalent by 1 of 3 NRSROS; "A" or better by 1 of 3
NRSROs, if long term debt issued; 25% maximum; 5% max
issuer; 270 days max maturity
Complies
Money Market Fund Highest rating by 2 of 3 NRSROs; 20% maximum; 10% max issuer Complies
Repurchase Agreements 102% collateralization Complies
Reverse Repurchase
Agreements
5% maximum, 90 days max maturity Complies
LAIF Not used by investment adviser Complies
Prohibited Municipal Securities Complies
Prohibited Mortgage Securities Complies
Avg Duration Not to exceed 180 days; Max duration of 1/2 year Complies
Maximum Maturity 1 year maximum maturity Complies
Orange County Sanitation District Liquid
November 30, 2015
COMPLIANCE WITH INVESTMENT POLICY
Assets managed by Chandler Asset Management are in full compliance with State law and with the investment policy
*FHLB currently at 21.2% and FHLMC is at 23.4% in the liquid portfolio, however concentration complies on the aggregate portfolio level.
18
Performance
0.01
0.07
0.22
0.01
0.00
0.02
0.00
0.05
0.10
0.15
0.20
0.25
Pe
r
c
e
n
t
a
g
e
(
%
)
Liquid Portfolio Performance as of 11/30/2015
Liquid Portfolio
BAML 3-Month US Treasury Bill Index
19
Timeline
Date Activity
July 2014 Chandler responds to Callan questionnaire
August 12,2014 Finals Presentations from various managers. Conducted due diligence through
interview process
October 1, 2014 Notice given about District’s decision to hire Chandler Asset Management due to
the appearance of prior manager’s instability
October 22,2014 Board approves hiring Chandler Asset Management
November 3, 2014 Kick off meeting. Reviewed account preferences, reporting requirements,
investment objectives and implementation process
November 30, 2014 Chandler begins portfolio management
December 30, 2014 District adopts Investment Policy
20
Closing Comments
■Working closely with OCSD staff to utilize the liquidity portfolio and
LAIF to enhance the management of the short-term investments
and mitigate the short term cash flows in the Long Term portfolio.
■Altered the maturity and duration distribution of the Long Term
portfolio to be more consistent with a 1-5 year investment mandate
which should lead to more consistent and stable returns over time.
■Chandler will continue to work with staff on updating the District’s
investment policy as California Government Code evolves.
■Chandler maintains ongoing communication with OCSD staff and
meets quarterly in person to ensure investment objectives of
safety, liquidity and return are being achieved.
21