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County of Ventura Board of Supervisors December 08, 2020 Page 2 of 3 Going forward, if the current portfolio investments were all held to maturity, the portfolio's approximate yield to maturity would be 0.72%, a significant decline from September of 14 basis points. Since only two of the October investments shown on Exhibit 2 produced a yield that high, the portfolio's percentage yield will continue to decline. If the interest rate market truly stazes at its current levels, our portfolio's approximate yield to maturity and annualized percentage yield may be as low as 0.50% by December. The total net earnings for October were $1.861 Million, a decrease from September that reflects the declining percentage yield. Exhibit 7 shows the repetitive seasonal pattern that has existed for several years, although this decline is steeper and deeper. The weighted average days to maturity declined slightly to 295 days, The interest-rate sensitivity measure of effective duration declined slightly to 0.48. Both numbers are comfortably within expectations for LGIP programs like ours. The three largest sectors, by percentage, were: Commercial Paper (24.49%); Yankee Certificates of Deposit (24.42%); and Government Agencies (18.55%). The three largest issuers by percentage, were: Toyota Motor Credit Corp (9.57%), Korea Development Bank (8.22%); and Federal Home Loan Mortgage Corp (7.27%). The three highest -yielding sectors, by annualized percentage yield, were: Corporate Medium Term Notes (1.3501); Supranationals (1. 180%); and Municipal Bonds (1. 100%). The portfolio has been managed with the stated objectives of safety, liquidity, and earning a competitive return, as outlined in the Statement of Investment Policy. In striving to maintain the primary objective, safety of principal, the County of Ventura has continuously maintained a rating of AAAf/S1+ by Standard & Poor's, the highest rating given by that agency, and re- affirmed in December 2019. The rating reflects S&Ps oon that the portfolio is well-managed, credorthy, well-diversed, and has a low sensitivity to interest rate variations. Regarding the secondary objective of maintaining sufficient liquidity to meet cash flow needs, the portfolio maintains significant cash reserves in the County's bank, as well as significant holdings in LAIF and CalTrust. The portfolio has the ability to meet its participants' expenditure requirements for the next six months, pursuant to a daily study of projected cash flows. All of the portfolio's assets have a well-developed resale market, although of course it is our policy not to sell. Earning a competitive rate of return is reflected by our performance against our benchmarks, even though they each have less restrictive investment poes than ours, and either have no S&P rating like LAIF or a lower S&P rating like CalTrust. The portfolio has been managed for several months on the assumption that monthly yields will decline. The Investment Work Group has already switched its focus to the challenges of investing in a declining market without approaching the boundaries imposed by our Statement of Investment Policy and by the Standard and Poor's ratings team. We are maintaining a larger cash balance as a liquidity hedge against possible withdrawals by pool participants if State payments are delayed. 800 South Victoria Avenue, Ventura, California 93009-1290 www.venturapropertytax,org (605) 654-3734