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County of Ventura Board of Supervisors June 15, 2021 Page 2 of 3 I do not believe the portfolio's percentage yield will continue to decline. If the interest rate mark truly stabilizes at its current levels, our portfolio's approximate yield to maturity and annualize percentage yield may be as much as 0.36% by the report for May. I The total net earnings for April were $1.09 Million, a slight decrease from March that reflects the declining percentage yield. Exhibit 7 shows the repetitive seasonal pattern that has existed for several years, although this decline has been steeper, deeper and longer lasting because market M. fell faster and stayed low. The weighted average days to maturity rose to 309 days. The interest -rate sensitivity measure of effective duration rose slightly to 0.517. Both numbers are comfortably within expectations for LGIP programs like ours. The three largest sectors, by percentage, were: Commercial Paper (32.07%); Yankee Certificates of Deposit (25.21%) and Government Agencies (16,20%). The three largest issuers, by percentage, were: Korea Development Bank (9.70%); National Bank of Kuwait NY (9.30%); and Federal Home Loan Mortgage Corp (8,69%). The three highest -yielding sectors, by annualized percentage yield, were: Corporate Medium -Term Notes (0.790%); Municipal Bonds (0.632%); and Supranationals (0.530%). 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/S I+ by Standard & Poor's, the highest rating given by that agency, and re -affirmed in December 2020. The rating refleCTS S&P's opinion that the portfolio is well-managed, credit- worthy, well -diversified, and has a low sensitivity to interest rate variations. Exhibit 9 is the S&P Global Ratings Pool Profile, effective March 31, 2021. 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 agai . nst our benchmarks, even though they each have less restrictive investment policies than ours, and they either have no S&P rating such as LAIF, or a lower S&P rating such as 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 steady 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. wwwventurapropertytax,org (805) 654-3734