of county of venturavcportal.ventura.org/ttc/docs/investment/monthly-investment-report… · dat e...

17
OF county of ventura W& STE _ TREASURER TAX COLLECTOR Don R. Hansen Assistant Treasurer-Tax Collector August 9, 2011 Ventura County Board of Supervisors County Government Center 800 South Victoria Avenue Ventura, CA 93009 SUBJECT: Discuss and File Report of Investments, including Market Values for Investments, for the month ending June 30, 201 1 . RECOMMEDAT1ON: Discuss and File FISCAL/MANDATES IMPACT: None DISCUSSION: The average daily portfolio balance for the month of June amounted to $ 2 billion. The portfolio yield for the month of June was .92 %. The weighted average days to maturity decreased 23 days to 353 days. The total net monthly earnings were $ 1.5 million. The portfolio has been structured to satisfy the anticipated cash flow needs of the participants. The investment practices and portfolio holdings are in compliance with the new investment policy. The portfolio has been managed with the stated objectives of safety, liquidity and earning a competitive rate of return, outlined in the Statement of Investment Policy. In striving to maintain the primary objective, safety of principal, the County portfolio has received a rating of AAAf by Standard & Poor's, the highest possible ranking given by the agency. Regarding the secondary objective, maintaining sufficient liquidity to meet cash flow needs, the portfolio is rated S1+, also the highest ranking given by S&P. In light of the first two objectives the portfolio has on balance outperformed its benchmarks, satisfying the final objective, that of earning a competitive rate of return. As noted last month, world economic conditions continue to have a major impact on domestic economic activity and world currency and commodity prices. The lack of a resolution to the Greek crisis has continued to fuel the fire of the risk of contagion to other weak European countries. The inability of Greece and the European Union to come to an agreement has kept the risk of default at the forefront and created concern about the impact on the European banks and the willingness of France and Germany to continue to bail out the weaker members of the Union. These worries have caused investors to migrate into the dollar and dollar denominated assets. This has caused the dollar to continue to strengthen and commodity prices to moderate. Commodity prices have also been negatively influenced by the general weakening in both world economic activity. 800 South Victoria Avenue, Ventura, CA 93009-1290 www.venturapropertytax.org

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Page 1: OF county of venturavcportal.ventura.org/ttc/docs/investment/Monthly-Investment-Report… · dat e count y o f ventur a account: al l account s selecte d asse t descriptio n 1 & 2

OF

county of venturaW&

STE_TREASURER

TAX COLLECTOR

Don R. HansenAssistant Treasurer-Tax Collector

August 9, 2011

Ventura County Board of SupervisorsCounty Government Center800 South Victoria AvenueVentura, CA 93009

SUBJECT: Discuss and File Report of Investments, including Market Values forInvestments, for the month ending June 30, 201 1 .

RECOMMEDAT1ON: Discuss and File

FISCAL/MANDATES IMPACT: None

DISCUSSION:

The average daily portfolio balance for the month of June amounted to $ 2 billion. The portfolioyield for the month of June was .92 %. The weighted average days to maturity decreased 23days to 353 days. The total net monthly earnings were $ 1.5 million. The portfolio has beenstructured to satisfy the anticipated cash flow needs of the participants. The investmentpractices and portfolio holdings are in compliance with the new investment policy.

The portfolio has been managed with the stated objectives of safety, liquidity and earning acompetitive rate of return, outlined in the Statement of Investment Policy. In striving tomaintain the primary objective, safety of principal, the County portfolio has received a rating ofAAAf by Standard & Poor's, the highest possible ranking given by the agency. Regarding thesecondary objective, maintaining sufficient liquidity to meet cash flow needs, the portfolio israted S1+, also the highest ranking given by S&P. In light of the first two objectives theportfolio has on balance outperformed its benchmarks, satisfying the final objective, that ofearning a competitive rate of return.

As noted last month, world economic conditions continue to have a major impact on domesticeconomic activity and world currency and commodity prices. The lack of a resolution to theGreek crisis has continued to fuel the fire of the risk of contagion to other weak Europeancountries. The inability of Greece and the European Union to come to an agreement has keptthe risk of default at the forefront and created concern about the impact on the European banksand the willingness of France and Germany to continue to bail out the weaker members of theUnion. These worries have caused investors to migrate into the dollar and dollar denominatedassets. This has caused the dollar to continue to strengthen and commodity prices to moderate.Commodity prices have also been negatively influenced by the general weakening in both worldeconomic activity.

800 South Victoria Avenue, Ventura, CA 93009-1290www.venturapropertytax.org

Page 2: OF county of venturavcportal.ventura.org/ttc/docs/investment/Monthly-Investment-Report… · dat e count y o f ventur a account: al l account s selecte d asse t descriptio n 1 & 2

The Federal Open Market Committee (FOMC) met in June and voted to keep the FederalFunds Rate, the rate that banks lend to each other, at 0.0% to 0.25%. In the press releaseannouncing the decision the Fed provided this assessment of the economy:

...the economic recovery is continuing at a moderate pace, though somewhat more slowlythan the Committee had expected. Also, recent labor market indicators have been weakerthan anticipated. The slower pace of the recovery reflects in part factors that are likely to betemporary, including the damping effect of higher food and energy prices on consumerpurchasing power and spending as well as supply chain disruptions associated with thetragic events in Japan. Household spending and business investment in equipment andsoftware continue to expand. However, investment in nonresidential structures is still weak,and the housing sector continues to be depressed. Inflation has picked up in recent months,mainly reflecting higher prices for some commodities and imported goods, as well as therecent supply chain disruptions. However, longer-term inflation expectations have remainedstable.

...The unemployment rate remains elevated, however, the Committee expects the pace ofrecovery to pick up over coming quarters and the unemployment rate to resume its gradualdecline...

The Fed provided further color on the economy with the release of the Beige Book, the reportprovided to the FOMC that gives the broadest overview of the economy. In the Beige Book, theFed gave these observations:

• Economic activity generally expanded but some deceleration was noted• Manufacturing activity continued to expand in most parts of the country• Activity in the non-financial service sectors expanded led by information technology and

business and professional services• Consumer spending was mixed• Auto sales were mixed but flows of new cars into dealer inventories was substantially

reduced due to supply disruptions caused by the disaster in Japan• Real estate construction and real estate continued to show widespread weakness• Agricultural conditions were unfavorable across much of the nation• Labor market conditions continued to improve gradually

Interest rates edged lower as capital flowed into dollar assets. Despite a weaker U.S. economy,dollar assets remain attractive relative to European or Asian alternatives, given the associatedissues with each region. Already depressed short-term rates edged lower with short-termTreasuries once again reaching negative yields. Longer-term rates continued to move lower by10 to 20 basis points as 5 year yields were down well below 1.50% and 10 year yields movedbelow 3%.

Given the current interest rate environment we anticipate the County's yield to drop slightly.Further, we continue to seek investment opportunities in order to optimize earnings (U. S.Treasury Market graph attached).

Page 3: OF county of venturavcportal.ventura.org/ttc/docs/investment/Monthly-Investment-Report… · dat e count y o f ventur a account: al l account s selecte d asse t descriptio n 1 & 2

Attached is a listing of market values provided by our custodian, Wells Fargo Bank, for allinvestments for the month ending June 30, 2011. GASB Statement no. 31 states that variancesbetween the cost of investments and the fair value of investments shall not be consideredbudgetary resources or uses of resources unless the value of investments is permanentlyimpaired because of decreased issuer creditworthiness or it is determined that the Treasurer beunable to hold investments to maturity. Also, attached is a separate listing of the transactions forthe month of June.

The following spreadsheets are also attached:

• Transactions for the month of June• Listing of Securities by Type• Summary of Government Agency Securities

The following is a list of attached graphs:

• Portfolio Average Monthly Balance• Average Portfolio Maturity• Balance Yield Comparison by Month• Portfolio Holdings By Instrument Type• Yield Curve, U.S. Treasury Market• Maturity Distribution

This letter has been reviewed and approved as to form by the CEO, the Auditor-Controller, andCounty Counsel.

Please call our Chief Investment Officer, Robert A. Hansen, at 654-3733 if you have anyquestions regarding this item.

Steven Hintz Robert A. HansenTreasurer-Tax Collector Chief Investment Officer

Exhibit 1 - Market Values of InvestmentsExhibit 2 - Monthly TransactionsExhibit 3 - Investment Inventory by TypeExhibit 4 - Summary of Government Agency SecuritiesExhibit 5 - Graphs

Page 4: OF county of venturavcportal.ventura.org/ttc/docs/investment/Monthly-Investment-Report… · dat e count y o f ventur a account: al l account s selecte d asse t descriptio n 1 & 2

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Exh

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1

Page 5: OF county of venturavcportal.ventura.org/ttc/docs/investment/Monthly-Investment-Report… · dat e count y o f ventur a account: al l account s selecte d asse t descriptio n 1 & 2

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Page 6: OF county of venturavcportal.ventura.org/ttc/docs/investment/Monthly-Investment-Report… · dat e count y o f ventur a account: al l account s selecte d asse t descriptio n 1 & 2

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Page 7: OF county of venturavcportal.ventura.org/ttc/docs/investment/Monthly-Investment-Report… · dat e count y o f ventur a account: al l account s selecte d asse t descriptio n 1 & 2

(SIRPT)

VENTURA COUNTY TREASURY PORTFOLIO, STEVEN HINTZ, TREASURER

ROBERT HANSEN: INVESTMENT MANAGER (805) 654-3733

INVESTMENT

INVENTORY

INVESTMENTS OUTSTANDING AS OF

6/30/11

MAJOR SORT KEY IS ICC#

SETTLEMENT DATE BASIS

PAGE:

1RUN: 06/30/11

10:42:01

INVSMT

R R R R R R R R R R R R R R R R R R R R R R R R R R R

NO.

36329

36328

36617

36619

36621

36627

36628

36611

36612

36618

36622

36370

36362

36391

36616

36623

36620

36369

36392

36421

36399

36382

36388

36379

36493

36495

36440

SUBTOTAL

R R R R R R R R R R R

36342

36624

36625

36373

36377

36460

36478

36613

36608

36610

36614

DESCRIPTION

FHLB

FHLB

FHLB

FHLB

FHLB

FHLB

FHLB

FHLB

FHLB

FHLB

FHLB

FHLB

FHLB

FHLB

FHLB

FHLB

FHLB

FHLB

FHLB

FHLB

BONDS

BONDS

BONDS

BONDS

BONDS

BONDS

BONDS

BONDS

BONDS

BONDS

BONDS

BONDS

BONDS

BONDS

BONDS

BONDS

BONDS

BONDS

BONDS

BONDS

FHLB-BONDS

FHLB

FHLB

FHLB

FHLB

FHLB

FHLB

(Inv

BONDS

BONDS

BONDS

BONDS

BONDS

BONDS

Type) 22 FHLB BONDS

FEDERAL NATL MTG ASSN

FNMA

FNMA

FNMA

FNMA

FNMA

FNMA

FNMA

FNMA

FNMA

FNMA

BONDS

BONDS

BONDS

BONDS

BONDS

BONDS

BONDS

BONDS

BONDS

BONDS

FUND

NO.

1003

1003

1003

10C3

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

MATURITY

(TICKER)

07/27/11

08/11/11

10/28/11

10/28/11

10/28/11

10/28/11

10/28/11

11/04/11

11/04/11

11/18/11

11/18/11

12/09/11

12/28/11

12/28/11

12/28/11

12/28/11

01/13/12

01/17/12

02/14/12

02/27/12

02/28/12

06/28/12

09/14/12

11/21/12

03/08/13

03/08/13

03/20/13

26.48%

11/23/11

01/09/12

01/09/12

01/12/12

01/12/12

08/10/12

08/10/12

10/30/12

11/09/12

12/28/12

12/28/12

PURCHASE

DATE

08/21/09

08/19/09

11/23/10

11/22/10

11/24/10

12/01/10

12/01/10

11/12/10

11/10/10

11/22/10

11/24/10

12/01/09

11/16/09

12/11/09

11/23/10

11/24/10

11/19/10

12/01/09

12/14/09

03/05/10

01/04/10

12/09/09

12/10/09

12/08/09

05/26/10

05/27/10

04/01/10

(C)

10/20/09

11/24/10

11/29/10

12/04/09

12/07/09

04/12/10

05/03/10

11/15/10

11/09/10

11/12/10

11/16/10

SAF/

PURP

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

CUPN

RATE

1.625

1.375

.240

.240

.240

.240

.240

.250

.250

.260

.260

1.125

1.000

1.000

1.000

1.000

.625

1.570

.900

1.000

1.100

1.125

2.000

1.625

1.750

1.750

1.625

.775

1.000

2.000

2.000

.875

.875

1.750

1.750

.500

.625

.375

.375

TRDNG

YIELD

1.319

1.220

.281

.281

.281

.282

.282

.294

.294

.304

.304

.840

1.082

1.000

.314

.314

.321

.820

1.030

1.000

1.320

1.170

1.411

1.440

1.459

1.506

1.708

.686

1.050

.315

.314

.976

1.000

1.320

1.240

.600

.625

.607

.622

BOOK

PRICE

100

10099999999 99 99 99 99 99

100 99

100

100

100

100

101 99

100 99 99

101

100

100

100 99

100 99

101

101 99 99

100

101 99

100 99 99

.581

.301

.962

.962

.962

.962

.962

.957

.957

.957

.957

.569

.829

.000

.751

.749

.349

.578

.722

.000

.535

.886

.589

.533

.790

.661

.760

.188

.896

.891

.868

.790

.741

.981

.137

.806

.000

.510

.481

PAR

VALUE

SHARES

5,000,

10,000,

30,000,

10, 000,

30,000,

50,000,

45,000,

25,000,

15,000,

15,000,

25,000,

14,500,

25,000,

25,000,

8,000,

15,000,

25,000,

12,000,

13,300,

10,000,

10,000,

19,000,

23,000,

25,000,

10,000,

10,000,

10,000,

514,800,

10,000,

20,000,

4,000,

20,000,

27,000,

20,000,

10,000,

15,000,

25,000,

10,000,

10,000,

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

BOOK VALUE

5,10,

29, 9,

29,

49,

44,

24,

14,

14,

24,

14,

24,

25, 8,

15,

25,

12,

13,

10, 9,

18,

23,

25,

10,

10, 9,

515, 9,

20, 4,

19,

26,

20,

10,

14,

25, 9, 9,

029,050.

030, 100.

988,600.

996,200.

988,600.

981,000.

982,900.

989,250.

993,550.

993,550.

989,250.

582,505.

957,250.

000,000.

060,080.

112, 350.

087,250.

189,360.

263,026.

000,000.

953,500.

978,340.

365,470.

133, 172.

079,000.

066,100.

976,000.

765,453.

989,600.

378,200.

074,720.

958,000.

930,070.

196,200.

113,700.

970,900.

000,000.

951,000.

948,100.

00 0000 00 00 00 00 00 00 00 00 00 00 00000000 00 00 00 00 00 CO 50 00 00 00 50 000000 00 00 00 00 00 00 00 00

ORIGINAL

5, 000,

10,000,

30,000,

10,000,

30,000,

50,000,

45,000,

25,000,

15,000,

15,000,

25,000,

14, 500,

25,000,

25,000,

8,000,

15,000,

25,000,

12,000,

13,300,

10,000,

10, 000,

19,000,

23,000,

25,000,

10,000,

10,000,

10,000,

514,800,

10, 000,

20,000,

4,000,

20,000,

27,000,

20, 000,

10,000,

15,000,

25,000,

10,000,

10,000,

FACE

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

Exh

ibit

3

Page 8: OF county of venturavcportal.ventura.org/ttc/docs/investment/Monthly-Investment-Report… · dat e count y o f ventur a account: al l account s selecte d asse t descriptio n 1 & 2

(SIRPT)

VENTURA COUNTY TREASURY PORTFOLIO, STEVEN HINTZ, TREASURER

ROBERT HANSEN: INVESTMENT MANAGER (805) 654-3733

INVESTMENT

INVENTORY

INVESTMENTS OUTSTANDING AS OF

6/30/11

MAJOR SORT KEY IS ICC#

SETTLEMENT DATE BASIS

PAGE:

2RUN: 06/30/11

10:42:01

INVSMT

NO.

R R R R R R R R R R R R R R R R R R

36445

36447

36462

36683

36551

36673

36681

36707

36567

36568

36569

36598

36600

36602

36678

36695

36732

36699

DESCRIPTION

FNMA

FNMA

FNMA

FNMA

FNMA

FNMA

FNMA

FNMA

FNMA

FNMA

FNMA

FNMA

FNMA

FNMA

FNMA

FNMA

FNMA

FNMA

BONDS

BONDS

BONDS

BONDS

BONDS

BONDS

BONDS

BONDS

BONDS

BONDS

BONDS

BONDS

BONDS

BONDS

BONDS

BONDS

BONDS

BONDS

FUND

NO.

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

MATURITY

(TICKER)

02/22/13

02/22/13

03/15/13

06/26/13

08/20/13

08/20/13

08/20/13

08/20/13

09/23/13

09/23/13

09/23/13

09/23/13

09/23/13

09/23/13

09/23/13

09/23/13

09/23/13

12/18/13

PURCHASE

DATE

04/06/10

04/07/10

04/13/10

02/22/11

08/26/10

01/21/11

01/24/11

03/30/11

09/08/10

09/10/10

09/10/10

10/26/10

10/27/10

10/28/10

02/01/11

03/16/11

04/14/11

03/16/11

SAF/

PURP

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

CUPN

RATE

1.750

1.750

4.375

1.500

1.250

1.250

1.250

1.250

1.000

1.000

1.000

1.000

1.000

1.000

1.000

1.000

1.000

.750

TRDNG

YIELD

1.822

1.796

1.719

1.033

.930

1.029

1.020

1.060

1.000

1.025

1.000

.700

.690

.669

1.049

1.000

1.020

1.070

BOOK

PRICE

99 99107

101

100

100

100

100

100 99

100

100

100

100 99

100 99 99

.798

.871

.537

.078

.938

.560

.582

.447

.000

.926

.000

.861

.890

.949

.872

.COO

.951

.133

10,

25,

10,

10,

10,5,

10,

20,

10,

10,

10,

25,

25,

25,

10,

20,

10,

20,

PAR VALUE

SHARES

000,000.

000,000.

000,000.

000,000.

000,000.

000,000.

000,000.

000,000.

000,000.

000,000.

000,000.

000,000.

000,000.

000,000.

000,000.

000,000.

000, 000.

000,000.

00 00 00 00 00 00 00 00 00 00 00 00 00 0000 00 00 00

BOOK VALUE

9,24,

10,

10,

10, 5,

10,

20,

10, 9,

10,

25,

25,

25, 9,

20, 9,

19,

979, 800.

967,750.

753,700.

107, 800.

093,800.

028,000.

058,200.

089,400.

000,000.

992,600.

000,000.

215,250.

222,500.

237,250.

987,200.

000,000.

995,100.

826, 600.

00 00 00 00 0000 00 00 00 oc 000000 00 00 00 00 00

ORIGINAL FACE

10, 000,

25,000,

10,000,

10,000,

10, 000,

5,000,

10,000,

20,000,

10,000,

10,000,

10,000,

25, 000,

25,000,

25,000,

10,000,

20,000,

10,000,

20,000,

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

SUBTOTAL (Inv Type) 23 FNMA BONDS

(C)

1.196

.965 100.474

436,000,000.00

438,065,440.00 436,000,000.00

R R R R R R R R R R R R R R R R R R R R

36343

36344

36345

36346

36347

36348

36349

36350

36351

36353

36615

36312

36313

36434

36437

36403

36458

36459

36452

36453

FEDERAL HOME

FEDERAL HOME

FEDERAL HOME

FEDERAL HOME

FEDERAL HOME

FEDERAL HOME

FEDERAL HOME

FEDERAL HOME

FEDERAL HOME

FHLMC BONDS

FHLMC BONDS

FHLMC BONDS

FHLMC BONDS

FHLMC BONDS

FHLMC BONDS

FHLMC-BONDS

FHLMC BONDS

FHLMC BONDS

FHLMC BONDS

FHLMC BONDS

LN MTG

LN MTG

LN MTG

LN MTG

LN MTG

LN MTG

LN MTG

LN MTG

LN MTG

CORP

CORP

CORP

CORP

CORP

CORP

CORP

CORP

CORP

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

12/15/11

12/15/11

12/15/11

12/15/11

12/15/11

12/15/11

12/15/11

12/15/11

12/15/11

12/15/11

03/14/12

03/23/12

03/23/12

04/25/12

04/25/12

01/09/13

04/11/13

04/11/13

04/15/13

04/15/13

10/21/09

10/22/09

10/26/09

10/27/09

10/28/09

10/28/09

10/28/09

10/28/09

10/29/09

11/03/09

11/17/10

05/20/09

05/22/09

03/30/10

03/30/10

01/11/10

04/09/10

04/12/10

04/08/10

04/08/10

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

1.125

1.125

1.125

1.125

1.125

1.125

1.125

1.125

1.125

1.125

1.720

2.125

2.125

1.125

1.125

1.375

1.720

1.720

1.625

1.625

1.201

1.186

1.275

1.189

1.121

1.182

1.132

1.117

1.174

1.125

.400

1.634

1.644

1.167

1.190

1.721

1.805

1.758

1.750

1.743

99.

99.

99.

99.

100.

99.

99.

100.

99.

100.

101.

101.

101.

99.

99.

93.

99.

99.

99.

99.

839

870

684

865

008

879

985

016

897

000

742

356

325

914

868

993

753

890

632

653

10,000,

10,000,

5,000,

10,000,

15,000,

20,000,

25,000,

25,000,

10,000,

10,000,

10,000,

10,000,

10,000,

25,000,

2,250,

10,000,

3,000,

25,000,

10,000,

10,000,

000.

000.

000.

000.

000.

000.

000.

000.

000.

000.

000.

000.

000.

000.

000.

000.

000.

000.

000.

000.

00 CO 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00

9, 983,

9, 987,

4,984,

9,986,

15,001,

19,975,

24,996,

25,004,

9,989,

10,000,

10, 174,

10,135,

10, 132,

24, 978,

2,247,

9,899,

2, 992,

24,972,

9,963,

9,965,

900.00

000.00

200.00

500.00

200.00

800.00

250.00

000.00

700.00

000.00

200.00

600.00

500.00

500.00

030.00

300.00

590.00

500.00

200.00

300.00

10,000,

10,000,

5,000,

10,000,

15,000,

20,000,

25,000,

25,000,

10,000,

10,000,

10,000,

10,000,

10,000,

25,000,

2,250,

10,000,

3,000,

25,000,

10,000,

10,000,

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

Exh

ibit

3

Page 9: OF county of venturavcportal.ventura.org/ttc/docs/investment/Monthly-Investment-Report… · dat e count y o f ventur a account: al l account s selecte d asse t descriptio n 1 & 2

(SIRPT)

VENTURA COUNTY TREASURY PORTFOLIO, STEVEN HINTZ, TREASURER

ROBERT HANSEN: INVESTMENT MANAGER (805) 654-3733

INVESTMENT

INVENTORY

INVESTMENTS OUTSTANDING AS OF

6/30/11

MAJOR SORT KEY IS ICC#

SETTLEMENT DATE BASIS

PAGE:

3RUN: 06/30/11

10:42:01

INVSMT

R R R R R

NO.

36456

36701

36703

36704

36738

SUBTOTAL

R R R R R R R R R R R R R R R R R R R R R R R R R R R R R R R

36241

36110

36151

36162

36166

36636

36644

36647

36648

36311

36330

36387

36395

36404

36708

36706

36364

36715

36718

36724

36731

36713

36725

36726

36692

36693

36684

36672

36674

36714

36721

DESCRIPTION

FHLMC BONDS

FHLMC BONDS

FHLMC BONDS

FHLMC BONDS

FHLMC BONDS

(Inv Type) 24 FHLMC BONDS

FFCB BONDS

FFCB BONDS

FFCB BONDS

FFCB BONDS

FFCB BONDS

FFCB BONDS

FFCB BONDS

FFCB BONDS

FFCB BONDS

FFCB BONDS

FFCB BONDS

FFCB BONDS

FFCB BONDS

FFCB BONDS

FFCB BONDS

FFCB BONDS

FFCB BONDS

FFCB BONDS

FFCB BONDS

FFCB BONDS

FFCB BONDS

FFCB BONDS

FFCB BONDS

FFCB BONDS

FFCB BONDS

FFCB BONDS

FFCB BONDS

FFCB BONDS

FFCB BONDS

FFCB BONDS

FFCB BONDS

FUND

NO.

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

10Q3

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

1003

MATURITY

(TICKER)

04/15/13

10/28/13

10/28/13

10/28/13

10/28/13

16.43%

07/18/11

08/15/11

09/23/11

10/03/11

10/03/11

12/01/11

12/01/11

12/01/11

12/01/11

01/17/12

01/17/12

01/17/12

01/17/12

01/17/12

03/01/12

03/09/12

06/18/12

06/18/12

06/18/12

06/18/12

06/18/12

10/17/12

02/22/13

02/22/13

06/25/13

02/03/14

02/18/14

02/27/14

02/27/14

02/27/14

04/07/14

PURCHASE

DATE

04/09/10

03/17/11

03/23/11

03/25/11

04/25/11

(C)

12/12/08

09/02/08

10/22/08

10/30/08

10/31/08

12/07/10

12/08/10

12/10/10

12/09/10

05/19/09

08/24/09

12/01/09

12/15/09

01/11/10

03/31/11

03/30/11

11/18/09

04/06/11

04/07/11

04/08/11

04/13/11

04/06/11

04/11/11

04/12/11

03/08/11

03/09/11

02/18/11

01/19/11

01/21/11

04/06/11

04/07/11

SAF/

PURP

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

CUPN

RATE

1.625

.875

.875

.875

.875

1.271

5.375

3.800

3.125

3.500

3.500

.300

.300

.300

.300

2.000

2.000

2.000

2.000

2.000

.280

.280

2.125

2.125

2.125

2.125

2.125

4.500

.900

.900

1.375

2.200

1.530

1.125

1.125

1.125

1.400

TRDNG

YIELD

1.750

1.001

1.070

1.080

1.040

1.271

2.360

3.540

3.420

3.520

3.400

.295

.295

.295

.295

1.580

1.480

.825

1.050

1.030

.270

.281

1.261

.355

.386

.386

.386

.620

.820

.820

1.001

1.400

1.530

1.186

1.217

1.416

1.400

BOOK

PRICE

99.

99.

99.

99.

99.

99.

107.

100.

99.

99.

100.

100.

100.

100.

100.

101.

101.

102.

101.

101.

100.

99.

102.

102.

102.

102.

102.

105.

100.

100.

100.

102.

100.

99.

99.

99.

100.

632

675

501

477

592

950

557

721

185

942

274

005

005

005

005

089

219

472

957

930

009

999

189

117

075

070

046

901

147

147

847

265

000

815

720

178

000

10,

15,

10,

20,

10,

320,

13, 8,

11,

28,

10,

15,

15,

25,

25, 5,

10,

13, 5, 7,

10,

22,

10,

35,

25,

15,

15, 3,

25,

25, 2, 3, 5,

10,

10, 2,

25,

PAR VALUE

SHARES

000,000.

000,000.

000,000.

000,000.

000,000.

250, 000.

500,000.

500,000.

000,000.

000,000.

000,000.

000,000.

000,000.

000,000.

000,000.

000,000.

000,000.

000,000.

000,000.

500,000.

000,000.

500,000.

007,000.

000,000.

000,000.

000,000.

000,000.

682,000.

000,000.

000,000.

974,000.

200,000.

000,000.

000,000.

000,000.

465,000.

000,000.

00 00 00 00 00 00 00 00 00 00 00 oc 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 00 oc 00 00 00 00

BOOK

9,963,

14,951,

9,950,

19,895,

9,959,

320,088,

14,520,

8,561,

10,910,

27,983,

10,027,

15,000,

15,000,

25,001,

25,001,

5,054,

10,121,

13,321,

5,097,

7, 644,

10,000,

22,499,

10,226,

35,740,

25,518,

15,310,

15,306,

3,899,

25,036,

25, 036,

2,999,

3,272,

5,000,

9, 981,

9, 972,

2, 444,

25,000,

VALUE

200.00

250.00

100.00

400.00

200.00

420.00

195.00

285.00

350.00

760.00

400.00

750.00

750.00

250.00

250.00

450.00

900.00

360.00

850.00

750.00

900.00

775.00

053.23

950.00

750.00

500.00

900.00

274.82

750.00

750.00

189.78

480.00

000.00

500.00

000.00

737.70

000.00

ORIGINAL

10, 000,

15, 000,

10,000,

20,000,

10,000,

320,250,

13,500,

8,500,

11,000,

28,000,

10,000,

15,000,

15,000,

25,000,

25,000,

5,000,

10,000,

13,000,

5,000,

7,500,

10,000,

22,500,

10,007,

35, 000,

25,000,

15,000,

15,000,

3, 682,

25,000,

25,000,

2,974,

3,200,

5,000,

10,000,

10, 000,

2,465,

25,000,

FACE

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

SUBTOTAL (Inv Type) 27 FFCB BONDS

22.61%(C)

1.707

1.096 100.955

436,328,000.00

440,493,810.53

436,328,000.00

Exh

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3

Page 10: OF county of venturavcportal.ventura.org/ttc/docs/investment/Monthly-Investment-Report… · dat e count y o f ventur a account: al l account s selecte d asse t descriptio n 1 & 2

(SIRPT)

VENTURA COUNTY TREASURY PORTFOLIO, STEVEN HINTZ, TREASURER

ROBERT HANSEN: INVESTMENT MANAGER (805) 654-3733

INVESTMENT

INVENTORY

INVESTMENTS OUTSTANDING AS OF

6/30/11

MAJOR SORT KEY IS ICC#

SETTLEMENT DATE BASIS

PAGE:

4RUN: 06/30/11

10:42:01

INVSMT

FUND

NO.

DESCRIPTION

NO.

R R36237 LOCAL AGENCY INV FUND

36406 LOCAL AGENCY INV FUND

SUBTOTAL (Inv Type) 30 LOCAL AGENCY

R R R

36719 FFCB DISCOUNT NOTES

36712 FFCB DISCOUNT NOTES

36717 FFCB DISCOUNT NOTES

SUBTOTAL (Inv Type) 42 FFCB DISCOUNT

R R R R R R R R R R R R R

36596 GENERAL ELECTRIC CAPITAL

36609 GENERAL ELECTRIC CAPITAL

36649 GENERAL ELECTRIC CAPITAL

36642 GENERAL ELECTRIC CAPITAL

36657 GENERAL ELECTRIC CAPITAL

36658 GENERAL ELECTRIC CAPITAL

36626 GENERAL ELECTRIC CAPITAL

36641 GENERAL ELECTRIC CAPITAL

36640 GENERAL ELECTRIC CAPITAL

36666 GENERAL ELECTRIC CAPITAL

36669 GENERAL ELECTRIC CAPITAL

36680 GENERAL ELECTRIC CAPITAL

36710 GENERAL ELECTRIC CAPITAL

580

580

INV

1003

1003

1003

MATURITY

(TICKER)

07/01/11

07/01/11

FUN

2.57%

03/08/12

04/04/12

04/04/12

NOTES

2.82%

1001

1001

1001

1001

1001

1001

1001

1001

1001

1001

1001

1001

1001

SUBTOTAL (Inv Type) 82 COMMERCIAL PAPER

07/14/11

07/15/11

08/08/11

08/12/11

08/18/11

08/22/11

08/25/11

08/29/11

08/31/11

09/08/11

09/08/11

10/03/11

11/28/11

PURCHASE

DATE

12/10/08

01/15/10

(C)

04/07/11

04/05/11

04/06/11

(C)

10/22/10

11/12/10

12/09/10

12/08/10

12/21/10

12/21/10

11/30/10

12/08/10

12/07/10

01/06/11

01/10/11

02/03/11

04/01/11

SAF/

PURP

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

200

DIS

6.61%(C)

ASSETS

FIXED

CUPN

RATE

.507

.507

.507

.260

.260

.260

.260

.400

.350

.360

.360

.350

.350

.370

.360

.360

.350

.350

.350

.320

.361

1.113

TRDNG

YIELD

.507

.507

.507

.261

.261

.261

.261

.401

.351

.361

.361

.351

.351

.371

.361

.361

.351

.351

.351

.321

.362

.900

BOOK

PRICE

100.000

100.000

100.000

99.757

99.736

99.737

99.748

99.706

99.762

99.758

99.753

99.767

99.763

99.725

99.736

99.733

99.762

99.766

99.765

99.786

99.745

100.338

PAR VALUE

SHARES

40,000,

10,000,

50,000,

30,000,

20,000,

5,000,

55,000,

14, 000,

7,000,

18,000,

10,000,

5,000,

5,000,

10,000,

10,000,

25,000,

8,000,

5,000,

7,000,

5,000,

129,000,

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

000.00

1941378000.00

BOOK

40,000,

10, 000,

50,000,

29, 927,

19,947,

4,986,

54, 861,

13, 958,

6,983,

17, 956,

9,975,

4,988,

4,988,

9,972,

9, 973,

24, 933,

7, 980,

4,988,

6,983,

4, 989,

128, 671,

VALUE

000.00

000.00

000.00

200.00

277.78

855.56

333.34

777.78

326.39

440.00

300.00

333.33

138.89

455.56

600.00

250.00

944.44

284.72

530.56

288.89

670.56

1947946127.93

ORIGINAL FACE

30,000

20, 000

5,000

55, 000

14,000

7,000

18,000

10,000

5,000

5,000

10,000

10,000

25,000

8,000

5,000

7,000

5,000

129,000

.00

.00

.00

, 000.00

,000.00

,000.00

,000.00

,000.00

,000.00

,000.00

,000.00

,000.00

,000.00

,000.00

,000.00

,000.00

,000.00

,000.00

,000.00

,000.00

,000.00

1891378000.00

Exh

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3

Page 11: OF county of venturavcportal.ventura.org/ttc/docs/investment/Monthly-Investment-Report… · dat e count y o f ventur a account: al l account s selecte d asse t descriptio n 1 & 2

GA summary

TOTAL PORTFOLIO =

FEDERAL AGENCIES

Federal Home Loan Bank

Federal National Mortgage Association

Federal Home Loan Mortgage Corporation

Federal Farm Credit Bank

NOTES

514.800

436.000

320.250

436.328

1,707.378

1,941.378

6/30/201 1

Discount Notes

0.000

0.000

0.000

55.000

55.000

TOTAL

514.800

436.000

320.250

491.328

1,762.378

1,762.378

Per Cent of

Portfolio

26.52%

22.46%

16.50%

25.31%

90.78%

Page 1

Exhibit 4

Page 12: OF county of venturavcportal.ventura.org/ttc/docs/investment/Monthly-Investment-Report… · dat e count y o f ventur a account: al l account s selecte d asse t descriptio n 1 & 2

6-11

INV.

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POR

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AV

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MO

NT

HL

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AL

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1100

1200

1300

1400

1500

1600

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2000

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2200

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JJ

AS

ON

DJ

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Exhi

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Page 13: OF county of venturavcportal.ventura.org/ttc/docs/investment/Monthly-Investment-Report… · dat e count y o f ventur a account: al l account s selecte d asse t descriptio n 1 & 2

6-11

INV.

PPT

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ER

AG

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250

300

350

400

JJ

AS

ON

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Mon

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Days

Exhi

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Page 14: OF county of venturavcportal.ventura.org/ttc/docs/investment/Monthly-Investment-Report… · dat e count y o f ventur a account: al l account s selecte d asse t descriptio n 1 & 2

6-11

INV.

PPT

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LD

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20.

40.

60.

811.

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61.

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Page 15: OF county of venturavcportal.ventura.org/ttc/docs/investment/Monthly-Investment-Report… · dat e count y o f ventur a account: al l account s selecte d asse t descriptio n 1 & 2

6-11

INV.

PPT

POR

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LD

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S`

CH

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0%

FHLB

27%

FNM

A22

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7%

FFC

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FHLM

C16

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LAIF

3%

....

Exhi

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Page 16: OF county of venturavcportal.ventura.org/ttc/docs/investment/Monthly-Investment-Report… · dat e count y o f ventur a account: al l account s selecte d asse t descriptio n 1 & 2

6-11

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511.

522.

533.

544.

5

FF3

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6 M

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R10

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June

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June

11

Exhi

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Page 17: OF county of venturavcportal.ventura.org/ttc/docs/investment/Monthly-Investment-Report… · dat e count y o f ventur a account: al l account s selecte d asse t descriptio n 1 & 2

6-11

INV.

PPT

MA

TU

RIT

Y D

IST

RIB

UT

ION

050100

150

200

250

300

350

400

6012

06

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240

300

1 YR

420

480

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066

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$

NU

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bit 5