CITY OF DALLAS
QUARTERLY INVESTMENT REPORT
September 30, 2011
City of Dallas
Portfolio Holdings
Combined Investment Summary
As of 09/30/2011
Portfolio Description
01 The City's Investment Pool
02 Convention Center Reserve
03 Water Reserve
04 Art Endowment
05 Ida Green Library Fund
10 DWU Commercial Paper Program
14 Trinity Parkway Escrow
16 Oncor Electric Escrow
Total
Face Amount
1,265,492,841
22,800,000
71,670,000
2,192,000
193,119
1,473,891
540,393
1,364,362,244
Book Value
1,272,901,647
22,824,526
71,802,430
2,293,280
193,119
1,473,891
540,393
1,372,029,286
Market Value
1,276,579,654
22,853,335
72,086,714
2,293,367
193,119
1,473,891
540,393
1,376,020,473
Accrued
Interest
4,436,949
61,265
278,080
15,100
4,791,394
Market Value +
Accrued Interest
1,281,016,604
22,914,600
72,364,793
2,308,467
193,119
1,473,891
540,393
1,380,811,867
*Unrealized
Gain/(Loss)
3,678,007
28,810
284,283
87
3,991,187
Weighted
Average
Days To
Maturity
453
114
293
486
0
1
1
1
438
Yield To
Maturity
% of
Portfolio
0.66%
0.67%
0.84%
0.50%
0.00%
0.03%
0.03%
0.03%
0.67%
92.78%
1.66%
5.23%
0.17%
0.00%
0.01%
0.11%
0.04%
100.00%
*Unrealized gain/loss is the difference between the market value and book value and does not represent an actual gain or loss. Gains and losses are realized only when a security is sold prior to maturity. Since it is the City's practice
to hold investments until they mature, the temporary gains and losses are unlikely to be realized.
2
City of Dallas
Trade Activity by Portfolio
As of: 6/30/2011 - 9/30/11
Portfolio Description
Beginning Face Amount
Beginning Yield To
Maturity
296,875,000
302,505,000
356,685,000
341,000,000
75,000,000
1,372,065,000
0.80%
0.56%
0.79%
0.70%
0.74%
0.70%
City's Investment Pool
Federal Farm Credit Bank
Federal Home Loan Bank
Federal Home Loan Mortgage Corp.
Federal National Mortgage Assoc.
Treasury Note
Total
Purchased
Matured/Called
65,000,000
33,125,000
10,000,000
25,000,000
133,125,000
45,000,000
41,000,000
164,000,000
85,000,000
55,000,000
390,000,000
Ending Face Amount
Ending Yield To
Maturity
316,875,000
294,630,000
202,685,000
281,000,000
20,000,000
1,115,190,000
0.82%
0.61%
0.74%
0.74%
0.01%
0.66%
9,500,000
13,300,000
22,800,000
0.71%
0.64%
0.67%
10,000,000
46,670,000
15,000,000
71,670,000
0.80%
0.92%
0.60%
0.84%
2,192,000
2,192,000
0.50%
0.50%
Trade activity includes agencies and treasuries only and excludes local government investment pools and money market mutual funds.
Convention Center Reserve
Federal Farm Credit Bank
Federal Home Loan Bank
Total
9,500,000
13,300,000
22,800,000
0.71%
0.64%
0.67%
Water Reserve
Federal Farm Credit Bank
Federal Home Loan Bank
Federal National Mortgage Assoc.
Total
10,000,000
46,670,000
15,000,000
71,670,000
0.80%
1.06%
0.60%
0.93%
Art Endowment
Federal National Mortgage Assoc.
Total
2,192,000
2,192,000
0.50%
0.50%
-
Ida Green Library Endowment
Federal Farm Credit Bank*
Total
1,000,000
1,000,000
0.32%
0.32%
-
1,000,000
1,000,000
873,824
873,824
0.08%
0.08%
-
680,705
680,705
193,119
193,119
0.03%
0.03%
1,604,846
1,604,846
0.13%
0.13%
229
229
131,184
131,184
1,473,891
1,473,891
0.03%
0.03%
540,315
540,315
0.13%
0.13%
78
78
540,393
540,393
0.03%
0.03%
1,472,745,985
0.71%
140,125,307
1,214,059,404
0.67%
-
7,000,000
7,000,000
-
7,000,000
7,000,000
-
-
0.00%
0.00%
* Security matured 09/30/11 and was reinvested the first week in October.
DWU Commercial Paper
Money Market
Total
Trinity Parkway Escrow
Money Market
Total
Oncor Electric Escrow
Money Market
Total
Grand Total
3
398,811,889
City of Dallas
Summary Statement by Portfolio
As of: 6/30/2011 - 9/30/11
Portfolio Description
City's Investment Pool1
Local Govt. Investment Pool
Money Market
US Agency
US Treasury
Total
Beginning Face
Amount
Ending Face
Amount
Beginning Book
Value
Ending Book Value
Beginning Market
Value
Ending Market
Value
33,803,533
2,675,308
1,297,065,000
75,000,000
1,408,543,841
150,298,533
4,308
1,095,190,000
20,000,000
1,265,492,841
33,803,533
2,675,308
1,307,303,698
75,276,928
1,419,059,467
150,298,533
4,308
1,102,536,687
20,062,119
1,272,901,647
33,803,533
2,675,308
1,311,921,596
75,394,525
1,423,794,962
150,298,533
4,308
1,106,207,273
20,069,540
1,276,579,654
Convention Center Reserve2
US Agency
Total
22,800,000
22,800,000
22,800,000
22,800,000
22,839,726
22,839,726
22,824,526
22,824,526
22,896,067
22,896,067
22,853,335
22,853,335
Water Reserve2
US Agency
Total
71,670,000
71,670,000
71,670,000
71,670,000
71,822,088
71,822,088
71,802,430
71,802,430
72,216,272
72,216,272
Art Endowment3
US Agency
Total
2,192,000
2,192,000
2,192,000
2,192,000
2,312,452
2,312,452
2,293,280
2,293,280
2,310,258
2,310,258
Ida Green Library Endowment4
US Agency
Total
1,000,000
1,000,000
DWU Commercial Paper5
Money Market
Total
Trinity Parkway Escrow6
Money Market
Total
Oncor Electric Escrow7
Money Market
Total
-
1,000,579
1,000,579
-
1,001,201
1,001,201
Deposits/
Redemptions
Change in Market
Value
(205,714,323)
(55,324,985)
(261,039,308)
4,052,371
384,579
4,436,949
0.09%
0.00%
0.73%
0.92%
0.66%
-
(42,732)
(42,732)
61,265
61,265
0.67%
0.67%
72,086,714
72,086,714
-
(129,558)
(129,558)
278,080
278,080
0.84%
0.84%
2,293,367
2,293,367
-
(16,892)
(16,892)
15,100
15,100
0.50%
0.50%
-
0.00%
0.00%
-
116,495,000
(2,671,000)
113,824,000
*Accrued Interest
Ending
Yield To
Maturity
(1,000,000)
-
(1,001,201)
(1,001,201)
873,824
873,824
193,119
193,119
873,824
873,824
193,119
193,119
873,824
873,824
193,119
193,119
(680,706)
(680,706)
-
-
0.03%
0.03%
1,604,846
1,604,846
1,473,891
1,473,891
1,604,846
1,604,846
1,473,891
1,473,891
1,604,846
1,604,846
1,473,891
1,473,891
(130,955)
(130,955)
-
-
0.03%
0.03%
540,315
540,315
540,393
540,393
540,315
540,315
540,393
540,393
540,315
540,315
540,393
540,393
-
-
0.03%
0.03%
4
78
78
City of Dallas
Strategy Statement and Compliance by Portfolio
As of: 6/30/2011 - 9/30/11
OBJECTIVES
The objectives of the portfolios are to: a) ensure safety of principal by investing only in high-quality securities for which a strong secondary market exists; b) ensure that anticipated cash flows are matched
with adequate investment liquidity; c) manage market and credit risk through diversification; and d) attain the best feasible yield commensurate with the objectives and the restrictions set forth in the
investment policy and the bond ordinance by managing the portfolio to meet or exceed the bond yield.
STRATEGY COMPLIANCE STATEMENT
For the quarter ending September 30, 2011 the portfolios are in compliance with the provisions of the Public Fund Investment Act and the investment strategy adopted in Sec. 17.0 of the City's Investment
Policy.
STRATEGY STATEMENT
1) City's Investment Pool
The City's Investment Pool is an aggregation of the majority of City funds that includes tax
receipts, enterprise fund revenues, fine and fee revenues, as well as some, but not all, bond
proceeds, grants, gifts and endowments. This portfolio is maintained to meet anticipated daily
cash needs for City of Dallas operations, capital projects and debt service. In order to ensure the
ability of the City to meet obligations and to minimize potential liquidation losses, the dollarweighted average stated maturity of the Investment Pool shall not exceed 1.5 years.
5) DWU Commercial Paper Program
Water Utilities issues tax-exempt commercial paper notes as an interim financing tool for
construction projects. Proceeds from the issuance of commercial paper debt must be liquid in
order to fund periodic payments to contractors and must be invested in tax-exempt securities in
order to avoid costly and complex arbitrage rebate computations. In order to meet these
requirements, commercial paper proceeds will be invested in tax-exempt money market mutual
funds.
2) Convention Center Reserve and Water Reserve
Non-pooled reserve funds for outstanding revenue bonds (Convention Center and Water) are set
at levels required by their respective bond ordinances. These funds will be used to pay principal
and/or interest at final maturity or if called prior to final maturity.
6) Trinity Parkway Escrow
The Trinity Parkway Escrow portfolio was created with the deposit of $5,000,000 on November
16, 1999 in an escrow account in accordance with an agreement dated as of January 1, 1999
between the City and the North Texas Tollway Authority ("NTTA") pertaining to development of
the Trinity Parkway. A subsequent deposit of $4,500,000 was made in June 2009. These fund will
be used to reimburse NTTA for specified payment related to project feasibility. Permitted
investment for this account are defined in the Escrow Agreement as those that are consistent with
the Public Funds Investment Act.
3) Art Endowment
The Art Endowment Fund was created by the City from a $1,285,026 repayment to the General
Fund from the Convention Center. Pursuant to Resolution No. 84-311 dated September 26, 1984,
this endowment fund was created to provide additional monies for the arts, not to replace the
current level of support. Funds received as gifts to the City with instructions that the income
generated by the investment of said funds be used for specified purposes are invested as separate
non-pooled portfolios in order to maximize return.
7) Oncor Electric Escrow
The Oncor Electric Escrow portfolio was created with the deposit of $4,500,000 in December 2007
in an escrow account in accordance with an agreement dated as of July 13, 2007 between the City
and the Oncor Electric Delivery Company LLC pertaining to the development of the West Levee to
Norwood Transmission Line. These funds will be used to reimburse Oncor for specified payment
related to project feasibility. Permitted investments for this account are defined in the Escrow
Agreement as those that are consistent with the Public Funds Investment Act.
4) Ida Green Library Endowment
The Ida M. Green Endowment Fund was created with the proceeds from the sale of stock from the
estate of Ms. Green pursuant to Resolution No. 87-0836. Its purpose is to provide funds for the
operating and capital expenses of the library's Texas Center for the Book and Children's Center.
Funds received as gifts to the City with instructions that the income generated by the investment
of said funds be used for specified purposes are invested as separate non-pooled portfolios in
order to maximize return.
5
City of Dallas
City's Investment Pool Portfolio Allocation
Investment Summary
As of 09/30/2011
City's Investment Pool Portfolio Allocation
Federal Home
Loan Bank
23.34%
Yield Comparison
Federal Home
Loan Mortgage
Corp.
16.12%
0.90%
0.80%
0.70%
0.60%
Federal National
Mortgage Assoc.
22.26%
0.50%
0.40%
Local
Government
Investment Pool
11.81%
Federal Farm
Credit Bank
24.89%
Treasury Note
1.58%
Description
Federal Farm Credit Bank
Federal Home Loan Bank
Federal Home Loan Mortgage Corp.
Federal National Mortgage Assoc.
Local Government Investment Pool
Money Market
Treasury Note
Total
0.30%
Investment
Pool
0.20%
Benchmark
0.10%
0.00%
Money Market
0.00%
Face Amount
316,875,000
294,630,000
202,685,000
281,000,000
150,298,533
4,308
20,000,000
1,265,492,841
Book Value
Market Value
316,862,294
297,086,867
205,228,539
283,358,986
150,298,533
4,308
20,062,119
1,272,901,647
317,949,579
297,746,770
206,089,613
284,421,311
150,298,533
4,308
20,069,540
1,276,579,654
*Unrealized
Gain/(Loss)
1,087,286
659,903
861,073
1,062,325
7,421
3,678,007
Weighted
Average Days
To Maturity
Yield To
Maturity
585
440
498
555
1
1
31
453
0.82%
0.62%
0.74%
0.74%
0.09%
0.00%
0.92%
0.66%
% of
Portfolio
24.89%
23.34%
16.12%
22.26%
11.81%
0.00%
1.58%
100.00%
* Unrealized gain/loss is the difference between the market value and book value and does not represent an actual gain or loss. Gains and losses are realized only when a security is sold prior to maturity. Since it is the City's stategy to hold investments until they
mature, the temporary gains and losses are unlikely to be realized.
As per Section 17.1 of the City's Investment Policy, the benchmark for the Investment Pool is the 12-month moving average yield on treasury 1-year constant maturities as reported by Federal Reserve Statistical Release H.15.
COMPLIANCE STATEMENT
For the quarter ending September 30, 2011 the City's Investment Pool is in compliance with the provisions adopted in Sec. 13.0 of the City's Investment Policy.
6
City of Dallas
City's Investment Pool Allocation by Maturity Range
As of 09/30/2011
City's Investment Pool Allocation by Maturity Range
Weighted Average Days to Maturity
Investment Pool
600
4.37%
400
3-6 Months
300
6-9 Months
200
9-12 Months
100
0
30.25%
Sep-10
1-2 Years
2-5 Years
Sep-11
2.75%
500
1-3 Months
Jun-11
4.33%
0-1 Month
Mar-11
16.13%
Dec-10
16.77%
Maximum
25.38%
Description
0-1 Month
1-3 Months
3-6 Months
6-9 Months
9-12 Months
1-2 Years
2-5 Years
Total
Face Amount/Shares
205,302,841
55,000,000
35,000,000
54,675,000
321,905,000
380,485,000
213,125,000
1,265,492,841
Book Value
Market Value
205,314,953
55,150,830
35,055,405
55,655,725
323,106,737
385,091,025
213,526,973
1,272,901,647
205,305,721
55,183,930
35,099,130
55,724,205
323,761,851
387,178,991
214,325,826
1,276,579,654
7
Yield To Maturity
Weighted Average
Days To Maturity
0.22%
0.78%
0.46%
0.49%
0.51%
0.79%
1.17%
0.66%
2
46
139
238
337
578
1825
453
% of
Portfolio
16.13%
4.33%
2.75%
4.37%
25.38%
30.25%
16.77%
100.00%
City of Dallas
Date To Date
Broker Dealer Activity
As of: FY 10-11 to Date
Description
Bank of America
Coastal Securities
Comerica Securities
Crews and Associates
Duncan Willams - MWBE
First Southwest
Jefferies & Co.
JPMorgan
Loop Capital - MWBE
Morgan Keegan & Co.
Oppenheimer & Co.
Rice Financial - MWBE
Vining Sparks
Wells Fargo
Williams Capital - MWBE
Total
FY 10-11 to Date
Awarded
20,000,000
197,685,000
10,000,000
20,000,000
176,000,000
220,000,000
60,000,000
57,675,000
20,000,000
100,117,000
98,900,000
90,000,000
60,000,000
1,130,377,000
%
1.77%
17.49%
0.00%
0.88%
1.77%
15.57%
19.46%
5.31%
5.10%
0.00%
1.77%
8.86%
8.75%
7.96%
5.31%
100.00%
Q4 FY11
Description
National Dealers
MWBE Dealers
Regional Dealers
Total
Awarded
300,000,000
237,792,000
592,585,000
1,130,377,000
%
26.54%
21.04%
52.42%
100.00%
Description
Duncan Williams
First Southwest
Jefferies & Co.
Loop Capital - MWBE
Oppenheimer & Co.
Rice Financial - MWBE
Vining Sparks
Wells Fargo
Awarded
20,000,000
7,000,000
23,125,000
10,000,000
10,000,000
35,000,000
25,000,000
10,000,000
140,125,000
Total
%
14.27%
5.00%
16.50%
7.14%
7.14%
24.98%
17.84%
7.14%
0.00%
0.00%
100.00%
Broker Dealer Activity FY10-11 to Date
26.54%
52.42%
National Dealers
MWBE Dealers
Regional Dealers
Notes:
Section 9 of the City's investment Policy requires the investment committee to annually review and adopt a
list of qualified broker/dealers. These firms represent the broker dealer firms that are currently approved by
the Investment Committee as of February 3, 2011.
21.04%
It is the City's Practice to solicit three or more competive bids/offers each trade.
8