Loading...
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