Treasury Oversight Committee February 10, 2017 City Hall - Room 140 - - PowerPoint PPT Presentation
Office of the Treasurer & Tax Collector City and County of San Francisco Jos Cisneros, Treasurer Pauline Marx, Chief Assistant Treasurer Michelle Durgy, Chief Investment Officer Treasury Oversight Committee February 10, 2017 City Hall -
Office of the Treasurer & Tax Collector City and County of San Francisco
Pauline Marx, Chief Assistant Treasurer Michelle Durgy, Chief Investment Officer
José Cisneros, Treasurer
February 10, 2017
City Hall - Room 140 ● 1 Dr. Carlton B. Goodlett Place ● San Francisco, CA 94102-4638 Telephone: 415-554-5210 ● Facsimile: 415-554-5660
Economic & Market Overview Pooled Fund Review Strategy 3-4 5 6-7 Pool Participants Breakdown December Monthly Report 2016 8 separate handout
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100K 200K 300K 400K 500K 600K 700K 800K
1.0 2.0 3.0 4.0 5.0 6.0
Millions
Housing
Existing Homes Sales New Home Sales
2.0% 4.0% 6.0% 8.0% 10.0% 62.5% 63.0% 63.5% 64.0% Employment
Labor Participation Rate Unemployment Rate Wage Growth
0K
0.0 12/12 12/13 12/14 12/15 12/16
Source: Bloomberg
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0.0% 62.0% 12/12 12/13 12/14 12/15 12/16 0.0% 1.0% 2.0% 3.0% 12/12 12/13 12/14 12/15 12/16
Gross Domestic Product
GDP Annual growth rates
0.0% 3.0% 6.0% 9.0%
0.0% 1.0% 2.0% 3.0% 12/12 12/13 12/14 12/15 12/16
Inflation
US Personal Consumption Expenditure Deflators Year-over-Year Change China Producer Price Index
2.0% 2.5% 3.0% 3.5%
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0.0% 0.5% 1.0% 1.5%
3M 1Y 2Y 3Y 5Y 7Y 10Y 30Y
UST Yield Curve as of 10/25/2016 UST Yield Curve as of 2/6/2017
UST Yields 10/25/2016 2/6/2017 Change 3M 0.33% 0.51% 0.18% 1Y 0.65% 0.79% 0.14% 2Y 0.85% 1.15% 0.30% 3Y 0.99% 1.40% 0.41% 5Y 1.27% 1.85% 0.58% 7Y 1.55% 2.18% 0.63% 10Y 1.76% 2.41% 0.65% 30Y 2.50% 3.05% 0.55%
Source: Bloomberg
Name of Fund Portfolio Size* ($ mns) Los Angeles County $24,734.0 LAIF 20,709.9 San Diego County 7,944.5 City and County of San Francisco 7,518.8 Riverside County 5,966.5 Orange County (ex. Schools) 4,152.1 Sacramento County 2,883.7 Fresno County 2,663.6
Contra Costa County Fresno County LAIF Los Angeles County Orange County City and County of San Francisco Riverside County Sacramento County San Diego County Sonoma County
0.5% 1.0% 1.5% 2.0%
Monthly Change In Earned Income Yield
Fresno County 2,663.6 Contra Costa County 2,080.3 Sonoma County 1,588.3 LGIP Index 30-Day Gross Yield November 2006 – November 2016
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Sources: Bloomberg, Sacramento County as of 10/26/2016
* as of November 2016
0.0%
200 400 600 800 1000
Weighted Average Maturity (in days)
Aug 2016 Nov 2016
0% 1% 2% 3% 4% 5% 6% Nov 06 Nov 08 Nov 10 Nov 12 Nov 14 Nov 16 San Francisco Earned Income Yield LGIP Index 30-Day Gross Yield
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changes in voting composition January 1, 2016 versus January 1, 2017
Dove Neutral
2016 2017
Dove Hawk 7 Dove Hawk No Longer Voting Now Voting Esther George Patrick Harker James Bullard Robert Kaplan Loretta Mester Charles Evans Eric Rosengren Neel Kashkari
Sources: FOMC, Great Pacific Securities
As of December 31, 2016
Pool Participant Equity Balance Percent of Fund
General Fund/Special City Funds/Internal Services Funds 2,712,528,538 32.59% San Francisco International Airport 1,110,623,183 13.34% San Francisco Public Utilities Commission 956,327,683 11.49% San Francisco Municipal Transportation Authority 827,805,649 9.95% San Francisco Unified School District 561,901,229 6.75%
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Source: Cognos Impromptu
Facilities and Capital Projects Funds - General 523,328,136 6.29% Other agencies (incl. Transbay Joint Powers, Trial Courts) 430,873,230 5.18% San Francisco General Hospital and Laguna Honda Hospital 421,593,172 5.06% OCII - Successor Agency – former SFRDA 317,877,308 3.82% Port of San Francisco 183,968,197 2.21% San Francisco Community College District 150,423,885 1.81% Pension and Retiree Health Care Trust Fund 100,858,311 1.21% San Francisco County Transportation Authority 25,606,074 0.31%
Totals $8,323,714,595
100.0%